Yes – it should be created and the creation is performed at the same time as some of the other folders which I see are created so that is a bit of an enigma, Please dd create it if you intend to use it…

This is the folder which is specified in the forum admin storage locations area:

wp-content/plugins/simple-forum/styles/icons/default/custom

I cannot find a folder wp-content/plugins/simple-forum/styles/icons/default anywhere in my cPanel file manager. There is no such path. All the other storage locations do exist. So where should I create this folder? Should I go to the wp-content/plugins folder and create the rest of this path?

you wouldnt… that is from simple press version 4.x…  and hasnt existed for years… so mighty odd…

are you using custom icons?  wont hurt if you are not…

but by default, it should be:  sp-resources/forum-custom-icons

that would be what you put in on the storage locations panel… if it doesnt exist, create it in sp-resources…