In docs I see that:

/**
 * gtk_image_new_from_gicon:
 * @icon: an icon
 * @size: (type int): a stock icon size
 * 
 * Creates a #GtkImage displaying an icon from the current icon theme.
 * If the icon name isn’t known, a “broken image” icon will be
 * displayed instead.  If the current icon theme is changed, the icon
 * will be updated appropriately.
 * 
 * Returns: a new #GtkImage displaying the themed icon
 *
 * Since: 2.14
 **/

but icon will be updated only after user interacts with it.
To update icon theme accordingly, I need to use:

g_signal_connect_swapped(gtk_icon_theme_get_default(),"changed",G_CALLBACK(on_theme_changed),img);

static void on_theme_changed(GtkWidget *img, GObject *object)
{
    int size = gtk_image_get_pixel_size(GTK_IMAGE(img));
    GIcon* icon;
    gtk_image_get_gicon(GTK_IMAGE(img),&icon,NULL);
    gtk_image_set_from_gicon(GTK_IMAGE(img),&icon,GTK_ICON_SIZE_INVALID);
    gtk_image_set_pixel_size(GTK_IMAGE(img),size);
}