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The ICSP header is primarily used for flashing a new bootloader into your Arduino, or changing various fuse bits, neither of which is done during normal Arduino usage.   If you were doing any of that advanced stuff it's probably best done with all shields removed and your programmer connected directly to your Arduino.

The other common use of the ICSP header is that it provides easy access to the SPI bus signals, which some shields use, like some of the Ethernet shields.   Some shields "pass thru" the ICSP header so that you can stack your shields in any order.  I don't think the  EmonTX shield uses the SPI bus, so has no need to connect to it.   Because it doesn't pass the ICSP header through, you wouldn't be able to put an Ethernet shield on top of your EmonTX shield for example.

[Edit] Actually I take that back.  I just looked at a photo of the EmonTX shield and it looks like it does have an ICSP header on it.  Handing over to somebody who knows more about that shield than I do.

The ISP header on the Emontx shield is used if you want to use the rfm12 on the shield. It's essential in the Leonardo since the spi signals are only available on the Isp header. A female Isp header on the under side of the Emontx shield is used to connect to them. In the arduino uno the spi pins are also broken out on the digital pins so it *might* work without the Isp header. If you have any trouble contact us through the shop and we will send you a replacement. 

Thanks for the responses. I'm using a duemilanove, so it's the same situation as the Uno. Looking at the traces on the pcb, it does look like the relevant ICSP pins are connected to headers 10/11/12 as well, so hopefully I *should* be ok.

Now to work out how to connect the pulse sensor to the shield - didn't realise the standalone tx used a dedicated port for this!