Yeah, it's kinda rough this early in the game. Just kdebase and kdelibs gave me very little functionality. After installing the rest of KDE packages (except kdegames, koffice and kdegraphics), things came more together. Still, all of the entries for kcontrol and kinfocenter ended up in lost&found.
This is because the initial packages of kde-3.5.8 for the VL 5.9 repo were built with --sysconfdir=/etc/kde (taken straight from Slackware's build scripts), whereas a repackage of kdelibs-3.5.8 was built with --sysconfdir=/etc passed to configure. That's why a lot of the icons are ending up in Lost and Found.
In being asked about this issue by another VL 5.9 testing user, it turns out that the Linux Filesystem Hierarchy Standard does include /etc/kde in it, and I think for a very good reason. Since KDE is such a large desktop environment, it only makes sense that it puts its static configuration files in its own place in /etc, namely /etc/kde.
This leads to comment for discussion among packagers who want to build KDE-dependent apps. Among the other arguments that are passed to the ./configure script, like --prefix=`kde-config --prefix`, we should pass --sysconfdir=/etc/kde.
Just my $0.02,