I was doing some cleanup today and discovered that deleting my extracted installation folder caused my desktop icon to not be the LG image.
It seems, the installer sets the shortcut icon location to point to \grimrock-rc6-1.1.3-installer\icon.ico, and doesn't copy the file to a more permanent location (like the C:\Program Files (x86)\Legend of Grimrock folder, for example).
I'm almost ashamed to bring it up, but figured I may as well. I don't need advice on it; I'm just letting you know of the behavior.
standalone installer: grimrock-rc6-1.1.3-installer.zip
win7 64
I have uninstalled and reinstalled to make sure it wasn't a fluke.
============edit===========
1.4 does it too. This also affects the startmenu shortcut's icon path.
icon path:
%USERPROFILE%\Downloads\grimrock-1.1.4-installer\icon.ico