Hey all. So as of UE4 version 4.13 the following works 100% for windows projects. I have not tested on other platforms, but I’m confident it will work for those as well. The problem isn’t with Unreal, it’s the fact that icon files need to have multiple sizes for them to work properly in Windows.
Step 1 - Create your icon file as a 256x256 PNG image and upload it to http://icoconvert.com/
Step 2 - After uploading your icon image, scroll down to Step 4 and select the following sizes: 16x16, 32x32, 64x64, 128x128, 256x256. Then hit the Step 5 Convert and Download link to download your new icon file.
Step 3 - Under the Project Settings in the UE4 editor, scroll down to your target platform (windows for example) to specify the new icon. You can also change the splash screen images here. These can be PNG files at 600x200 pixels in size.
Step 4 - Package your project and your new icon file will replace the Unreal U icon.