Tried on a computer with Windows 7, and same problem, so I doubt it’s got anything to do with Windows caching thumbnails.
Also, there is a funny behaviour: if I pin the app to the taskbar, the icon changes and displays the right one. When I unpin it, it shows the MonoGame icon again. The icon displayed on the window, next to the title, is always the MonoGame one though.
I just double checked that my icons have the original size of both the .bmp (256x256) and .ico (128x128).
I’m not sure what else to try.