Right click your shortcut. Bottom option "properties". At the bottom of that box, there's a button that says "Change Icon" click it, and paste the following into the text field, or you could browse to this exe.
C:\Program Files (x86)\Steam\steamapps\common\Guns of Icarus Online\GunsOfIcarusOnline.exe
(running windows 7 64, your exact EXE location may vary, but it will be in the steamapps\common\Guns of Icarus Online folder, wherever that is.)
And... now you have the icon.
I have had plenty of instances where I had to do that in order to get an icon for a steamapp shortcut. Probably more of a problem with windows/steam interactions than anything that has to do with this game, but who knows. Could be a tiny oversight.