Yes, it used to work correctly. I tested older portable versions.
4.3.4, 5.1.8, 5.5.1, 5.7.1, 5.7.2 are just fine.
5.7.3 and higher, 5.9, 5.9.1, 5.11 show some icons, but not all anyway (see the image). This may be related with "Optionally determining local file icon by extension only" from
https://winscp.net/eng/docs/history?a=5.7.3
5.14.2 and higher, to 5.15, do not show icons of regular folders (local panel on the left side) when WinSCP starts with that folder open (5.14.1 doesn't have this bug). As the folder is local, it shows it immediately. On the second entry, folder icons are usually displayed, but I saw a case when 1 folder icon was not displayed even then, but when I reentered again, it was displayed finally.
The last bug may be related to "Loading .exe (and similar) file icons asynchronously" from
https://winscp.net/eng/docs/history?a=5.14.2
I also tried the hidden configuration option Interface\LocalIconsByExt, it didn't help.