I am not sure Whether you can add new Icons from ico file. But you can create an image collection and add your icons created as svg or png and in the navigation menu in-app explorer in the icon selection, you can also select the images you have added. in the app Navigation menu.
or
You should create your own Navigation menus using containers and implement custom fonts ( not the best approach).
https://medium.com/mendix/mendix-how-to-add-font-icons-465e2a03884
Dinesh Kumar, thank you for your answer. I’ve tried both of these image sets
and got an unpleasant result. Navigation has a small size of the image, which is not dependent on the resolution of the source file. That is how it looks like in collapsed and expanded state.