If yoy look further down the Themes setting page there is another setting for User menu that allows you to add icon names to the link name before the 'pipe' this then displays the icon before the link title and can be overridden in a renderer easily enough in order to convert to Font Awesome. However, this menu is overridden totally in Essential theme as it existed prior to the Moodle version of that menu.
What you cannot do, and this is the crux of this discussion, is add icons to the main menu as you are trying to do.
There is nothing stopping you adding a menu as we use to do in Moodle 1.9, if coded correctly it still works, and in my opinion looks and works better than the Bootstrap one, and best of all you can add the icons you want too. But if going down that route you can customise the Bootstrap 2.3.2 navbar code that you can find in the link I added in an earlier comment to Vikram.
Cheers & Happy Christmas
Mary