Thanks for reporting this. This was an Objo Studio bug rather than a problem with your project.
Studio was using the configured icon for the application window but wasn’t embedding it into the generated Windows executable. This has now been fixed for Build output, unpackaged folders, Portable ZIPs and MSIX packages.
The icon is embedded before MSIX packaging and signing, so signed packages continue to work correctly. The fix will be included in the next release: https://feedback.objo.dev/bug/1311