I had the same (or similar) problem when migrating to 2006 (original version to use the CUI interface).
The MNU/MNS text files required different formatting of path names than the CUI editor. Those formats were not automatically adjusted by the editor during conversion to CUI.
After F-ing around for days trying to correct the path statements, I finally just removed the paths from the image lines in each command, placed all custom Icon files in one place and called that location in the Support Paths in OPTIONS>Files.
Haven't had a problem since.
Cedar Engineering and Design Service