It's actually something that they need to fix. I don't have to manually set my icon for most of my other Steam games. NS2 is one of the few with "no icon" on the created desktop shortcut.
Obviously this is the most game-breaking bug of all time though, it's like you can't even start the game if it doesn't have an icon and then it breaks all your immersion, if you know what I mean...
Missing shortcut icon might actually be the cause of low performance. Imagine launching a game and it's struggling to find it's icon. It looks everywhere on you pc, every archive, it even tries to brute force protected stuff...
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"\Steam\SteamApps\common\natural selection 2\NS2.exe"
Obviously this is the most game-breaking bug of all time though, it's like you can't even start the game if it doesn't have an icon and then it breaks all your immersion, if you know what I mean...