Packaging that involves a comilation process in the Binary editor causes custom Windows icons to be ignored in packaged games. This could either be seen in a Code project or in a Blueprint Only project that includes custom code plugins (which will also trigger a compilation process upon packaging)
This does not occur in 4.20
This may be related to or caused by the fix for
There's no existing public thread on this issue, so head over toAnswerHub just mention UE-67032 in the post.