That is correct.
What you might do is update your Number Item using an MQTT transform, so that what is passed to the Item state is degrees-divide-by-10 e.g. 0.0 to 36.0
Then that will work with your renamed icon-0 to icon-36
In the [ format ] part of your Item label you can use anther transform to multiply by ten, to get your original heading back for display.