I noticed the same problem. I think the solution is to make the shortcut read only before you pin it to the task bar. I did this a few days ago and they seem to be keeping my new icon.
If you later want to unpin the shortcut from the taskbar you will need to remove the readonly check from the taskbar shortcut properties. Although it will unpin without doing this you will be left with the shortcut in the real folder and have to go there to physically delete it.
C:\Users\(user name)\AppData\Roaming\Microsoft\Internet Explorer\Quick Launch\User Pinned\TaskBar