I really don't know, they do on mine.
Does the Icon Package you are using have a DVD drive Icon? (I know, silly question, that would have been the first thing you checked)
Here's anther silly question, do you have the same problem with any Icon Package you use? (You would have used several just to trouble shoot the problem)
What OS on you on? What are the Icon packages that don't work? I'll try them on my computer to see what happens.