Nope. DLLs must be separate files for security reasons. Windows gets upset when you break that paradigm. In theory, someone could make a GameBoy emulator that compiles with Godot. But I’m not working on that.
There are tools to change the Icon of Godot at export time. It’s documented in their docs. Since most people are using this project for Steam distribution though, the DLL usually fine; most games have LOTS of ancillary files.