Use preload for options (fix icons).

osu.Game/OsuGameBase.cs

@@ -44,8 +44,7 @@ namespace osu.Game
 
             Children = new Drawable[]
             {
-                Options = new OptionsOverlay(),
-                Cursor = new OsuCursorContainer()
+                Cursor = new OsuCursorContainer { Depth = float.MaxValue }
             };
 
             Beatmap.ValueChanged += Beatmap_ValueChanged;
@@ -81,6 +80,8 @@ namespace osu.Game
             Fonts.AddStore(new GlyphStore(Resources, @"Fonts/Exo2.0-Black"));
             Fonts.AddStore(new GlyphStore(Resources, @"Fonts/Exo2.0-BlackItalic"));
 
+            (Options = new OptionsOverlay { Depth = float.MaxValue / 2}).Preload(game, Add);
+
             API = new APIAccess()
             {
                 Username = Config.Get<string>(OsuConfig.Username),

osu.Game/Overlays/OptionsOverlay.cs

@@ -34,7 +34,6 @@ namespace osu.Game.Overlays
 
         public OptionsOverlay()
         {
-            Depth = float.MaxValue;
             RelativeSizeAxes = Axes.Y;
             Size = new Vector2(width, 1);
             Position = new Vector2(-width, 0);