I've just solved a recent issue I was having with steam shortcut icons not appearing. An I would like to share how I fixed this annoying issue due to the lack of tutorials on the internet.
* This guide is for people who have their Steam games on a different partition/hdd.
* I also reinstalled windows 10 that cause some conflict at discovering files.
Setting up games Directory:
So the first thing you want to do is open Steam and go into steam --- > settings ----> steam library folders.
Now click add library folder and find the other HDD your steam games are located. Example: D:\Games\Steam\steamapps\common.
Now that you have added your new steam game directory right click on it, and set to "make default folder"
Now once steam has detected all your games located in your game directory you want to copy the game folder you want to fix the icon for.
D:\Games\Steam\steamapps\common\Counter-Strike Global Offensive
Right click onto the game in your steam library and selected properties, then click on the Local files tab then open browse local files.
Copy it to your desktop then right click onto the game in your steam library and " delete local content"
Next copy it back into the your game directory and click install via the steam library.
Once its re discovers the files and installs create a desktop shortcut (If not already one on desktop)
Now open C:\Program Files (x86)\Steam\steam\games you see thumbnail icons which steam has downloaded to your PC.
Right click onto the shortcut and open properties.
Next click change icon and locate the game icon for that shortcut in C:\Program Files (x86)\Steam\steam\games.
Click apply and that's how you fix it.
If its windows causing icons to be missing for not just steam I recommend deleting your IconCache.db in your appdata.
Hopefully this helps you solve this annoying problem.