i downloaded a few games yesterday and they werent showing any custom icons on their desktopshortcuts, so i deleted these shortcuts.

today i added them to the desktop again, and their icons would show up.
however, in the list where you choose the shortcut to add from, still didnt show the icon (the "more"-menu does, though)

also, i just installed angry birds and added the desktopshortcut - no icon.
so i just restared my n900 and voila, the icon shows up.

so either wait a while or reboot the device.