Haha, lovely to see tgat I am not alone with this problem.
I work as an IT engineer and yet I have not been able to solved this problem, starting since Battlefield 3. Had the same problem with Battlefield 4(but that icon looks right today) and now this happens to me for Battlefield 1 aswell! I am also from Sweden, so maybe you're on to something there about our version of Windows? This problem though, did happen to me in Windows 7, 8 and 10.
Funny thing is, if you browse your desktop from "This Computer", does the icon look correct there for you? It does for me, but it looks wrong on the actual desktop itself :P