Hang in there...I'm a new grad in ICU as well, but with one year behind me (whew!). I can so relate to your frustrations. I actually had very supportive preceptors, BUT sometimes I think they would forget what it was like to be a new nurse (not on purpose, they weren't trying to discourage me, it just happened.) Most of them have been nurses for 20-30 years.
I do have a baseline problem of not being very good at time management...I tend to get bogged down in the details. Finally after a good talk with my manager (bless her!) after feeling like I was still drowning and wondering if I had chosen the wrong profession, she was able to pair me with a nurse who was very good at time management AND could give me helpful constructive criticism including identifying specific ways I could do things differently instead of just telling me I needed to "kick it up a notch" constantly with no additional information.
I think it's safe to say it takes a while to get the routine down smoothly, and even then all it takes is for one of your two patients to crump, or require closer supervision and the whole shift routine seems to fall to pieces and you are there at the end of it hoping you didn't miss anything really important.
Nope, I don't think you're going wrong and give it some time. Depending on your preceptor try to communicate that you need more specific feedback than just "step it up". If you feel like you are still hitting your head against a brick wall, talk to your manager about your frustrations and if possible have a list ready of what you still feel uncomfortable about and maybe he/she can put you with a preceptor that will help you learn what you need to do to be successful and grow as an ICU nurse. It's not a put down on any particular nurse, but some nurses are just better at teaching than others, I think it's a personality thing.
I look forward to when I've been a nurse for several years and can confidently handle any assignment I'm given without inwardly quaking in my shoes when things get crazy and no one is immediately available to help me. Good luck, and don't give up...it's so worth it. It really does get easier the more experience you get. I love being in critical care and can't imagine starting anywhere else.