They all need alpha layers. Unit Flag icons are 32*32... icon itself should be about 22*22 within the icon space. Needs to be saved as DDS. Strategic View icons are 128*128 with the actual icon being, perhaps, 120*120... needs to be saved with mipmaps in DDS. Unit icon is in 256/128/80/64/45. 45 needs to be saved A8R8G8B8... I use paint net for that. The borders of 256 icon should be 174 dimension circle... exactly. There are a number of tutorials with various programs for that... I use Gimp.
All files need alpha layers and should have only one layer.
I think there is a file with the various sizes in excel format in the reference section of the forums.
Oh, the SV icons are usually red with a bright green dropshadow underneath... about 1 or 2 pixels to the bottom-right. My mod in the scenario section has many examples... "The Viking Age". You can use those as a model.
The tutorial section has a lot of info about icon creation.