I wasn't sure whether or not to post this in Help, because it's a bug. Sorry if this is the wrong section.
It seems that most of the time when launching the game with -noconsole, the icon doesn't show up. It appears on the taskbar with the generic windows executable icon.
Badspot said in a live stream that now -noconsole is fixed, he would probably use it by default on steam. If he's going to do this I really think it should be fixed.