After setting the Default Icon for my project and building, I was still seeing the default Unity icon on my desktop. After further investigations, it seems that the icon is showing up for Extra large Icons, Large Icons, and Small Icons, but not Medium Icons (which is default for desktop icons). Am I doing something wrong?
Even more puzzling, I make an installer for the build with a Unity icon on the desktop, but the installed version has the correct icon on the desktop an all icon sizes.