Steam Shortcuts with no Images
I just created a desktop for Q.U.B.E. And it also shows just a blank icon.
To change the icon right click the shortcut and select proeperties. On the Webdocument Tab you have a button to change the icon. On the dialog that opens when you click the button locate the .exe of the game and choose an icon, if more than one are available. (For Q.U.B.E. you find the .exe in \steam\SteamApps\common\QUBE\Binaries\Win64\QUBE.exe)
I don't think there is a method to fix the icon for shortcuts in one go.