Hi,
Previously smileys came from a folder beneath the editor javascript folder for the specific editor and these folders are versioned so as we upgraded to new versions of the editors it would break the smileys from older content if you deleted the previous version of the editor.
In recent versions we moved the smileys to a central location so that it would use the same path whenever we upgrade the editors. So now smileys come from /Data/SiteImages/emoticons
But content entered previously would still have the old editor specific urls, so if you deleted the old versions of the editors then the files are missing on disk now.
There was also previously a bug in some versions where a fully qualified url was used for the smileys instead of a relative url, and security features (NeatHtml which protects against cross site scripting in untrusted content) may filter out images if they are not using relative urls.
Hope it helps,
Joe