Hi Anabelle, I think that's a good idea.
In my case, I'll only be using the navigation icons on my primary menu, however if I were using multiple menus with icons I would definitely prefer having all css within one file rather than the plugin making separate requests for each stylesheet.
Two more unrelated items I'll mention...
1. When adding an icon image the thickbox popup isn't able to fit the content of the wordpress image uploader/library (see example)
Not a major issue, but slightly annoying. Looks like the thickbox width should be somewhere around 670px to fit everything.
2. Originally when I was trying to get the plugin working I first specified an image URL and then decided to use the library instead. Even after selecting the "From Media Library" radio button, the input for the icon url was kept. I became unclear if that was something I had to manually clear before my library selection would work.
I would either have the url input field cleared when the From Media Library option is selected, or simply add a margin on the bottom of the url input field to keep the two options a bit more separate.
Thanks again for your work on this plugin.