Can somebody tell me what icons should be in this folder and it's purpose?
Thanks

you mean ~/.kde[4]/share/icons ? this is where optional icon sets are placed, they can be found using ghns (get hot new stuff) or dl'ed from kde-look.org

Thanks google01103,
So there wasn't ever any links in this folder to the main oxygen icon set?

Correct - an empty (or non-existant) folder here is normal.
KDE falls back between various locations (see "kde4-config --path icon" for a list) until it finds the theme or icon in the theme.