It’s been a while since I’ve used that, with Lectora v11. What you’d need is a multi-layer .ico containing a 16×16 and a 32×32 layer. Find attached an icon file that worked for me in v11, so you can see whether it’s the file or Lectora that’s not replacing the icon.
P.S. I can’t attach the .ico itself so I’ve put it into a zip (Can’t remove what’s left of the try with the .ico either).