Edit: In the original question i made some wrong assumptions about how setters work so i modified it to hopefully be more accurate and useful.
So after reading Meleak's answer and finding out that you can have a style within a style via resources what probably comes closest to doing this with a setter is an embedded style to access the icon's opacity. Here i assume the icon to be an image so i use that as the target type, the complete style hence looks like this:
The only problem with this is that it does not actually set the Icon.Opacity
but the opacity of all images that may occur within the MenuItem.