World Rotation doesn't work properly?

I have several Static mesh items, which I’m trying to rotate to 0;0;0. Every mesh has a deep nesting: it’s a 3D-icon on Spring Arm, which is the part of whole item (Actor), which is located in container (Actor), which is placed on level. Just like this:

World

–Menu Container

----Menu Item

------Spring Arm

--------Icon

Since every parent has it’s own rotation, I’m using Set World Rotation method. But for some reasons, all icons have different rotations after Set World Rotation (0, 0, 0) (screen related). How can I fix this?