THIS BUG IS FIXED IN THE CURRENT 1.6 PRE-RELEASE:
I've confirmed and reproduced a bug in the current 1.5.x Platform where on Vista, when the screen DPI is set to 120 (aka Large Fonts in Windows), the icons for apps in PortableApps.com Format are missing from the menu. This is due to Vista's ExtractIconEx API not working properly with Delphi when in 120dpi mode though I am not sure if the issue is with Delphi or Vista at the moment. I'm working on a workaround that will fix it and will post soon.
UPDATE: I have confirmed that this only affects Windows Vista and Windows 7 Beta at 120dpi. It does appear to be a bug in the ExtractIconEx API in Windows itself (it fails to return a small icon, which it should not as there is one). It does not affect Windows XP and earlier.