I'm aware this has been the case since Windows 3.x, you always need an external program to ensure the executable is created with the icon you want. Why?
Please no mentions of Linux and other OSs, I know it's trivial to do so for them.
The PE format used by Windows stores icons in the binary itself, so modifying them is extremely nontrivial. Compare that to Linux environments, where the icon is typically specified within a .desktop file which is literally just a text file and points to an executable and a separate image file somewhere else on the disk.
As the other commmenter mentioned though, you can do something similar to this on Windows by just adding a shortcut as a level of indirection to the actual program in much the same way as a .desktop file.
I'm going to be the snarky SOB that says it's the same reason they're still using NTFS when dozens of open and objectively better file systems have been created in the thirty years since--no one seems to hold them to any practical standards.
Rcedit can do the job, but it isn't an open license and you would need to run it through Wine on Linux or *BSD.
Does anyone know if it is at all possible to specify an SVG icon like a sane person yet? At least on 11?
There's probably a way to do "specify icon as part of the linker call" which should be easier.