One of the mysteries of the menus-and-toolbars based UI of Office 97-2003 is "which menu items get icons?" If you look at the top-level menus of any of the Office programs, you'll see that some items have icons and some don't.
As it was told to me by one of the designers who worked on it, originally the icons were given to menu items which also appeared on toolbars. As a result, there was a visual link between the toolbar icon and the menu item which would help to communicate their relationship. On the other hand, items which were not present in any toolbar (such as Format.Font in Word) didn't have an icon.
However, the rules for when to use an icon weren't really set in stone, and over time people started to use them for other reasons--to help a feature stand out on the menu or because the designer working on it wanted the sexy new feature to have an icon.
So we ended up with a bit of a mish-mash of features with icons and features without them. I'm not sure if it actually impacted usability at all (I sort of think it probably didn't), but if you were trying to discern meaning from the presence or absence of icons, there was not much to go on.
In the Office 2007 user interface, we're trying to be more consistent about which features have icons.
Specifically, all features represented in the top-level Ribbon have icons. This gives the visual design a more uniform appearance and helps guide the eye to the feature names. It also helps scaling, because in situations in which the Ribbon needs to shrink down into a very small space (think < 500 px.), we can scale features down to their icons and rely on the tooltips to reveal the feature names.
Crafting icons for so many features is an extremely time-consuming and expensive process, but one that should be worth it when evaluated as part of the overall fit-and-finish of the product.