Same problem here on Kubuntu 11.10 KDE 4.8.1 and Pinta 1.1., no matter if I use oxygen-gtk or any other theme.

Installing gnome-icon-theme-full solved the problem. No more errors in the terminal. But I didn't use Pinta for half a year, as other things has been more important. Just because this...

So this just for documentation, starting with my standard KDE:

m@m:~$ pinta
GLib.GException: Symbol »gtk-dialog-error« nicht im Thema vorhanden
  at Gtk.IconTheme.LoadIcon (System.String icon_name, Int32 size, IconLookupFlags flags) [0x00000] in <filename unknown>:0 
  at Pinta.ErrorDialog.Build () [0x00000] in <filename unknown>:0 
  at Pinta.ErrorDialog..ctor (Gtk.Window parent) [0x00000] in <filename unknown>:0 
  at Pinta.MainClass.ExceptionManager_UnhandledException (GLib.UnhandledExceptionArgs args) [0x00000] in <filename unknown>:0 
  at GLib.ExceptionManager.RaiseUnhandledException (System.Exception e, Boolean is_terminal) [0x00000] in <filename unknown>:0

After installing gtk3-engines-oxygen output in terminal:

m@m:~$ pinta

Unhandled Exception: System.ArgumentException: 'gtk-close' is not a valid resource name of assembly 'Pinta.Resources, Version=1.1.0.0, Culture=neutral, PublicKeyToken=null'.
  at Gdk.PixbufLoader.InitFromAssemblyResource (System.Reflection.Assembly assembly, System.String resource) [0x00000] in <filename unknown>:0 
  at Gdk.PixbufLoader..ctor (System.Reflection.Assembly assembly, System.String resource) [0x00000] in <filename unknown>:0 
  at Gdk.Pixbuf..ctor (System.Reflection.Assembly assembly, System.String resource) [0x00000] in <filename unknown>:0 
  at Gdk.Pixbuf.LoadFromResource (System.String resource) [0x00000] in <filename unknown>:0 
  at Pinta.Resources.ResourceLoader.GetIcon (System.String name, Int32 size) [0x00000] in <filename unknown>:0 
  at Pinta.ResourceManager.GetIcon (System.String name, Int32 size) [0x00000] in <filename unknown>:0 
  at Pinta.ResourceManager.GetIcon (System.String name) [0x00000] in <filename unknown>:0 
  at Pinta.Gui.Widgets.OpenImagesListWidget..ctor () [0x00000] in <filename unknown>:0 
  at Pinta.OpenImagesPad.Initialize (MonoDevelop.Components.Docking.DockFrame workspace, Gtk.Menu padMenu) [0x00000] in <filename unknown>:0 
  at Pinta.MainWindow.CreateDockAndPads (Gtk.HBox container) [0x00000] in <filename unknown>:0 
  at Pinta.MainWindow.CreatePanels (Pinta.WindowShell shell) [0x00000] in <filename unknown>:0 
  at Pinta.MainWindow.CreateWindow () [0x00000] in <filename unknown>:0 
  at Pinta.MainWindow..ctor () [0x00000] in <filename unknown>:0 
  at Pinta.MainClass.Main (System.String[] args) [0x00000] in <filename unknown>:0 
[ERROR] FATAL UNHANDLED EXCEPTION: System.ArgumentException: 'gtk-close' is not a valid resource name of assembly 'Pinta.Resources, Version=1.1.0.0, Culture=neutral, PublicKeyToken=null'.
  at Gdk.PixbufLoader.InitFromAssemblyResource (System.Reflection.Assembly assembly, System.String resource) [0x00000] in <filename unknown>:0 
  at Gdk.PixbufLoader..ctor (System.Reflection.Assembly assembly, System.String resource) [0x00000] in <filename unknown>:0 
  at Gdk.Pixbuf..ctor (System.Reflection.Assembly assembly, System.String resource) [0x00000] in <filename unknown>:0 
  at Gdk.Pixbuf.LoadFromResource (System.String resource) [0x00000] in <filename unknown>:0 
  at Pinta.Resources.ResourceLoader.GetIcon (System.String name, Int32 size) [0x00000] in <filename unknown>:0 
  at Pinta.ResourceManager.GetIcon (System.String name, Int32 size) [0x00000] in <filename unknown>:0 
  at Pinta.ResourceManager.GetIcon (System.String name) [0x00000] in <filename unknown>:0 
  at Pinta.Gui.Widgets.OpenImagesListWidget..ctor () [0x00000] in <filename unknown>:0 
  at Pinta.OpenImagesPad.Initialize (MonoDevelop.Components.Docking.DockFrame workspace, Gtk.Menu padMenu) [0x00000] in <filename unknown>:0 
  at Pinta.MainWindow.CreateDockAndPads (Gtk.HBox container) [0x00000] in <filename unknown>:0 
  at Pinta.MainWindow.CreatePanels (Pinta.WindowShell shell) [0x00000] in <filename unknown>:0 
  at Pinta.MainWindow.CreateWindow () [0x00000] in <filename unknown>:0 
  at Pinta.MainWindow..ctor () [0x00000] in <filename unknown>:0 
  at Pinta.MainClass.Main (System.String[] args) [0x00000] in <filename unknown>:0