I dunno -- I have followed this thread with some anxiety, but playing with my KDE 4.11.2 desktop does not show any issues.
My application style is set to QtCurve, my desktop theme is air, my icon theme is oxygen team, and my window decorations are air-oxygen-style.
With widgets unlocked, I increased my panel height a bit, and changed the desktop pager to show my 4 virtual desktops in 2 rows, versus the default 1. It changed to a square of 4 virtual desktops. I set it to show the icons and that works. I locked the widgets, logged out, killed X, then restarted X and logged back in. Everything is set as I left it. Dolphin is working perfectly, and showing the places and devices in the left panel as expected.
I don't normally change the icon sizes, but I'm going to have a little play with that and see if it shows the issue that spacepenguin saw.
EDIT: I changed small icon size from 16 to 32, saw the sample icons get larger, applied it, and logged out and shut down X, restarted KDM and logged back in and checked it. It was still set at 32. I changed it back to 16, saw the sample icons reduce in size, and applied it. I'm not sure where in my normal viewing of files I would see "small icons" -- it's not something I use, I guess. But the settings do appear to be working as expected. So I wonder if this has to do with the Cleanlooks style, rather than the KDE settings.