My Finder looks like this - the icons for local and external volumes are shown correctly in column view, on Get Info and on the desktop but in sidebar Locations all (except for boot volume) are all just plain circles:
I checked this question Changing the Finder icon for an external disk formatted as ExFat? and none of the volumes have a
.VolumeIcon.icns file and I have renamed the volumes with no effect.
This question Change Mac OS X Finder sidebar icons suggested looking at
~/Library/Preferences/com.apple.sidebarlists.plist but this doesn't seem to exist in Mojave.
This question How to reset default sidebar favourites icons in Finder? suggested deleting
~/Library/Preferences/com.apple.finder.plist and restarting Finder. Sure enough this works and the sidebar icons are corrected but after a reboot they are back to being circles.
I am running Mojave 10.14.6 on a mid 2014 MBP.