W007! I've been looking for a solution to this problem for a REALLY long time and I finally found it. SO here's the deal. The issue has to do with XDG. XDG looks for some very specifically named icons which are located in the /whatever size/places folder in your respective icon theme. If your icon theme has .svg icons you're in luck because the process is much faster. Otherwise you're going to be making a crap ton of symbolic links.
I have only managed to change the 'Documents' folder icon, but the theory is sound. Just make a symbolic link to the icon you want to use but name the icon the proper name, in the case of documents, the proper name is 'folder-documents.png'. I'm using Hydroxygen which uses png files so I will have to make sym links for each size icon; 128, 72, 48, 32,24, etc....
repeat the process for each of the sizes, and each of the XDG folders (Documents, Downloads, Pictures, Music, Videos, etc...)
sudo ln -s /usr/share/icons/hydroxygen/128x128/places/skyblue-folder-documents.png /usr/share/icons/hydroxygen/128x128/places/folder-documents.png