Are you using a theme? With themes you cannot change the icons. You will need to go back to the default theme first, change them there then set back the theme of choice.
I am, but I deactivated it beforehand. Also using an other Launcher (in my case the Microsoft Launcher) causes that you can't change this setup.
But I returned to the original theme and launcher, changed this setting to "just icons" but there is no difference. Even after reboot.