Yes, the blade that comes with the cameo will cut icing sheets. I have the SD and am not familiar with the cameo cut settings, but I would play around in the light to medium patterned paper range, maybe someone else could give you the exact settings. You do not want to cut through the backing.
I use my regular cutting mat to cut them on, and put scotch tape down both sides of the sheet so there is something for the wheels to run on and not scratch up the icing sheet, it can make a terrible mess. The tape never touches the cutting area, or the parts of the icing sheet you are going to use.
If you are thinking of cutting gum paste, you do need a longer blade, the one that comes with the cameo will not work. HTH