in ADW Settings/Backup and restore, hit "Backup ADW Settings". this should help the custom icons stick on a reboot. if not, after reboot, just go back into the same place and hit "Restore ADW Settings". also, do you have your ADW theme stored internally or on sdcard? i've always had better luck keeping the icons themed if i keep my theme on internal storage.
I have a similar problem with the icons on ADW Launcher EX. I am using the LP New MIUI Icon Pack. When I reboot the phone the icons are not changed until I manually restart ADW from the ADW menu. Does anyone know how to correct this?