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 [Link Removed]
There's no existing public thread on this issue, so head over to AnswerHub just mention UE-67032 in the post.