There is more than one place to have icons for a renpy game. If the developer of the game did not fill those places, the standard icon will appear. That's what I remember at least.
Viewing post in not original icon game
The fix would be required on developer's side.
But on your system you can do these https://duckduckgo.com/?q=how+to+customize+an+icon+on+desktop&ia=web
(Set an icon manually in the properties of the desktop shortcut. You might need to create a custom ico file first.)