There are pros and cons to it. I would just make sure you have some good caching rules in place and let it load once and be done with it. Realistically Google is not going to refuse to serve your page because you ran 20 http requests for some icons. That would be silly.
I try to remember that at the core of all things search related every search engines holy grail is the perfect result for your search query. In one of Matt C's videos they hit the subject of on-page factors versus content and he said they would overlook a lot of things in order to deliver the better result to the query. So for SEO purposes cache it and get to that content rocking.
