Context menu in DO on the Desktop folder, Vista Question

Both those things are normal. If you create a context menu item in Opus then the icon (if any) only shows up in Opus's menus with just text in Explorer-generated menus.

Explorer also doesn't provide any way to define the order of menu items; instead they seem to get added in the order it finds them in the registry, resulting in a big mess. You can tidy up this mess in Opus with a bit of work (see here) but not in Explorer.