And it has a very clear setting on the first page, which was "on" by default: "Fetch icons in background". This is of course the very thing that the Windows Start menu does NOT do and was the source of my complaint.

For the record, it looks like the Start Panal in XP does get the icons in the background, as I found out on this bootup. I hit the start button, and saw half the icons were the generic icon, then watched as a few moments later, they started filling themselves in. I am not sure if the classic start menu does the same thing in XP, since I am a convert to the new start panal design.