I believe .ico files cannot be used by the game itself. But, they are used for the game’s program icon instead, which is displayed either in the taskbar or on the top of the window. This is for the OS, that’s why the engine doesn’t do an import on it.
This guide is invalid
I already went over this dozens of times with multiple people
It says that the .ico file needs to be in multiple resolutions but the links to learn how to do that lead to a broken link http://registry.gimp.org/node/27989