The real question in my mind is an icon for what?

Typically an application adds a desktop icon to start the application.  An icon to start rexx.exe is pointless.  Staring the interpreter without feeding it a program does nothing.  We could educate users that drag and dropping a Rexx program file on the icon will execute the program.  In which case the icon would serve some purpose.  But, that is not going to give people unfamiliar with Rexx a better intro to the advantages of Rexx.

Or we could add an icon to ooRexxTry.rex or rexxtry.rex, which could be useful to some people that are familar with rexxtry.rex to begin with.  But, again I don't see how that gives someone unfamiliar with Rexx a better introduction to its advantages.
It seems to me, that an installation of ooRexx is just not the type of install where installing a desktop icon serves much purpose.
Very good question.  
But think 'out of the box' for a minute.   The icon does not have to start a program.  It could take one to the ooRexx website, for example, Or to a tutorial.  Or to a collection of useful classes and programs.  Or all of the above.
'Out of the box' ... almost certainly the person who just did that install has an internet connection (they just downloaded ooRexx, probably).  Let them use it.