I had the same problem.
I resoved it comparing how PrimeFaces themes are defined. jQuery themes created with ThemeRoller imports the icons that way:
.ui-icon { width: 16px; height: 16px; background-image: url("images/ui-icons_626262_256x240.png");
You have to replace it with:
.ui-icon { width: 16px; height: 16px; background-image: url("#{resource['primefaces-YOUR-THEME-NAME:images/ui-icons_626262_256x240.png']}");}</b>
Do it also for the other CSS classes:
.ui-icon
.ui-widget-content .ui-icon
.ui-widget-header .ui-icon
.ui-state-default .ui-icon
.ui-state-hover .ui-icon, .ui-state-focus .ui-icon
.ui-state-active .ui-icon
.ui-state-highlight .ui-icon
.ui-state-error .ui-icon, .ui-state-error-text .ui-icon