In what directory(s) are the default ubuntu icons located?

Icons are located in /usr/share/icons

More specifically, the default icons that the file browser is using (currently up to version 15.04) are placed in folder:

/usr/share/icons/Humanity/places/48

The icon for the download folder is folder-download.svg.

"Icons are located in /usr/share/icons"

This answer is only partially correct. If one does a locate *.png on the command line, many locations for icons will be found. For example, /usr/share/unity/icons,

/usr/share/themes/Radiance/gtk-3.0/assets/switch-button-off.png

So a more generalized answer would be... in various directories under /usr/share

I don't know what a "downloads bookmark" is, so I can't address your specific issue any further.