Hi bargor and welcome to Windows 7 Forums
That's perfectly normal. The method you describe only affects the following (see image):.
For the others, you need right-click the icon, select
Properties, select the
Shortcut tab and click on
Change Icon... If there are any alternative icons to display, you should see them there. Just click on the one you want to select it and then click
OK twice to close the dialogue panels. In some, but not all, cases you may be prompted for administrative consent before an icon can be changed.
For example: