Showing a check mark for if something is active can make sense, and other status indicators, but then it should also indicate if the status is currently absent. (On Windows, some menu items can have a check mark, but if there isn't, it does not tell you if it is one that could have a check mark or not. Indicating this could be useful.)
Another thing that the menus do have, and which they should have because it is good to have, is specifying which keys are used to operate those commands. Windows also has one underlined letter so that you can select it when the menu is displayed, which can also be useful (especially since not all commands have keys assigned normally, so using the keys to activate the menus can be used in this case).
My own programs with menus do not use icons (and do not usually use icons outside of menus either).