I have the same problem, any help would be appreciated!
Then please try what fellow member djbb tried or read here about other suggestions -> Link if it's not the trainer icon but the trainer itself.
Ok,
So I managed to get a workaround over this bug.
I extracted the .ico files from cheathappens trainer.exe and save it to a folder, and for any new game trainer installed from cheathappens I have to change the shortcut icon to the extracted .ico files.
Et voila! No more missing icon after windows restart.
[Edited by djbb, 5/26/2019 11:42:47 AM]
And just nearly 2 years later. Wow that's hard-core dedication guy. Congrats!