Short answer? No.
The long answer is that the license to use any of the RPGMaker series of engines prevents you from actually altering any of the actual editor and/or Game.exe content. Even though many would love to replace the classic icon within the exe itself, tampering with the exe would be considered reverse-engineering and is prohibited.
HOWEVER, you could use an installation program (other than the one built into the editor) that allows you to apply your custom icon to a self extracting exe if you're experienced enough. I use InstallMaker Pro.
( Hey, Enterbrain! Come up with a legal program that replaces the Game.Exe's Icon so we can do it legally!!!! )