I just realized that the icon for my app disappeared some time ago - it just won't get displayed. But that's not entirely correct - in fact it gets displayed on Windows XP but not on Windows 7. This is really strange because the very same icon (that hasn't changed since the very beginning) would get displayed with older versions of py2exe.
You can easily check out the problem in the py2exe samples. In the advanced sample there is an icon.ico (which is not used right now - uncomment icon_resources to include it) so just build the sample and see for yourself - the icon will get displayed on Windows XP but not on Windows 7.
What's really strange is the fact that there are indeed a few icons that will get displayed correctly on both systems. I haven't been able to figure out the difference between those nevertheless i think this is a bug that must have been introduced somewhere after the 0.5.x versions.