There are no icons in Files' context menus in Loki, and this is normal behavior.
Installing PCManFM those icons are still missing, but they can be enabled as explained here. The change doesn't affect Pantheon Files though, and I would like to have that, because my menus contain multiple entries that are much easier to spot and select when they have icons, as they do in other desktop environments.
Is there a way to trigger that change for the default file manager too?