The wrong icon is the result of a bug in SDT - I created a ticket.
Beside from that, Scala files (as well as Java files) which are not assigned to the classpath (as it is currently the case for sbt project files) are not compiled by Eclipse (because they are not associated with a builder).
Nevertheless, you get most other IDE features for these files like semantic highlighting or auto completion (in fact all features which don't require or rely on bytecode generation should work).