Hi:
My daughter(16) and I just did this itinerary in July on Icon. Its an amazing ship! I have cruised a lot on many lines and Icon was literally the coolest ship i've ever seen. We never felt crowded despite this was a full sailing in the middle of the summer. As far as the theme nights, the only one i remember was white night which i think was on the day we went to Cozumel. There are so many restaurants and places to eat we couldnt even try them all. I did have the hibachi lunch scheduled but cancelled it so we could try the sports bar which was excellent. Didnt try Chops because im not a steak person but it looked beautiful. The Central park area was gorgeous! We went to the Sushi restaurant which houses both the hibachi and sushi venues and that food was very good. Everyone on the hibachi side looked like they were really enjoying it. As far as excursions, in Roatan we went with an independent company and saw the sloths which were very cute and we supposed to go parasailing but unfortunately the wind didnt cooperate so we missed out. They do have zip lining and i think some hiking and shopping oportunities. also The port area in Roatan was really nice. They have a great pool and this river type pool with hammocks that hang over the water.
Cozumel, we went with the ships excursion to Playa Del Carmen which is on the mainland to Xcaret which is sort of like an outdoor adventure park. Its a lot of fun with rivers and caves you can swim though, a boat tour, swimming with the dolphins etc. The only thing is your time is somewhat limited because of the ferry ride over from Cozumel. We have been twice but im not sure i would go back if we went to Cozumel again. The prices were pretty good because of black friday sales which are currentl going on right now.
As to your final question on the thrill waterpark, we also went and i think i paid 90 dollars each. I honestly didnt think it was worth it to be truthful. The waterpark on Icon is great and the slides are pretty thrilling. The waterpark on Cocoa Cay was crowded(there was another ship docked with us on the day) and it was the same as any waterpark on land. We live in SoCal and have, i think ,something like 5 waterparks within a 30 minute drive of us so i did not feel this was anything special. We were only in there for about 2 hours and then my daughter wanted to see the rest of Cocoa Cay so i felt it was a little wasted. However if you live somewhere that doesnt have a lot of waterparks it might be a treat.
Enjoy your vacation, we had such a great time. Make sure to go to the milkshake bar near the back. That was my daughters favorite!