We have confirmed this is a bug and plan to fix it in a future update.
You can also manually configure it using the following steps.
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1. Right-click the shortcut where the icon is not displayed and open "Properties".
2. Click the "Change Icon" button.
3. Click the "Browse" button and specify "C:\Program Files (x86)\Steam\steamapps\common\SegaFCC".
4. Select "Open" and specify the executable file (.exe) of the target game.
5. Click "Apply".
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