As I'm not sure if your exact issue, you can however set the icon manually in version 7.1.

In 7.1, it there is built-in powershell commands you can use:

Customizing VMware Horizon RDSH Application Icons - YouTube

If you're not at 7.1, you can try creating a shortcut of the application and point your published application at that path. You can also try pointing it at the exact exe if you're not already. Other solutions I've seen is create a bat file to run the .exe and convert the bat file to an exe with an icon.