Not much of an answer but I was able to work around this using the Loaded event and setting the the Icons image in the handler.
void MenuItem_OnLoaded(object sender, RoutedEventArgs e)
{
var menuItem = (MenuItem)sender;
if (menuItem.DataContext is OptionMenuItemViewModel x)
menuItem.Icon = new Image { Source = new BitmapImage(x.ImageUri) };
}
With the following XMAL
<MenuItem Header="_Database" ItemsSource="{Binding DataBaseMenuItemViewModels}" >
<MenuItem.ItemContainerStyle >
<Style TargetType="MenuItem" >
<EventSetter Event="Loaded" Handler="MenuItem_OnLoaded"/>
<Setter Property="Header" Value="{Binding Path=Title}" />
<Setter Property="ToolTip" Value="{Binding Path=ToolTip}" />
<Setter Property="Command" Value="{Binding Path=Command}" />
<Setter Property="CommandParameter" Value="{Binding Path=Message}" />
</Style>
</MenuItem.ItemContainerStyle>
</MenuItem>
However, I sure would like to know why the obvious didn't work.