I agree that loading in the optimum icons for each display is the best option. Performance is secondary to me - an i7 should be able to draw a few extra icons! And then they should be cached.
As it happens though, I've found Windows 10's handling of different density DPI displays to be so appalling across a range of apps, compounded when using mixed DPI screens, that I've decided to disable my high-res laptop display (it's a MacBook Pro) and ONLY power my two external monitors, when both plugged in.
This gives me a 1920 x 1080 x 2 x normal DPI, as opposed to that PLUS 3600 x 2000 - but broken-looking applications.
I can't tell you how disappointed I am with Microsoft on this one - though it's not totally fair to say this is their fault; developers should have grasped this nettle by now and upgraded their apps as SOME work flawlessly (though many of MS's own do NOT, Excel and Word being two).
This has been the final nail in the coffin for me and my "1 laptop / Win & OSX" dream... and strangely, the winner is OSX. Using a MBP under Windows has proved to be much more of a compromise than Apple would have you believe, and it's just going to be easier and cleaner to suffer some of the drawbacks of the Apple OS to get a much better overall experience (on this setup, at least). I'll only use Windows now if I'm doing Flash or Office development - all other web development I think is going to be Mac only.
A bit of background for you there anyway
Cheers,
Dave