This is what the Windows Vista/7-era UX guidelines say/said on on the matter:
Consider providing menu item icons for:
- The most commonly used menu items.
- Menu items whose icon is standard and well known.
- Menu items whose icon well illustrates what the command does.
If you use icons, don't feel obligated to provide them for all menu items. Cryptic icons aren't helpful, create visual clutter, and prevent users from focusing on the important menu items.
From: https://learn.microsoft.com/en-us/windows/win32/uxguide/cmd-...
The history for today is a bit of a mess really: https://www.githubstatus.com/history