Setting Stage.icons throws a SecurityException in a JavaWS or Applet Environment and therefore does not apply the icons. This behaviour is not expected following the JavaFX documentation.

It was already reported as RT-806, but without the WebStart/Applet Environment is not reproducible (and the report lacked the Exception):

java.security.AccessControlException: access denied (java.lang.RuntimePermission accessDeclaredMembers)
at java.security.AccessControlContext.checkPermission(AccessControlContext.java:323)
at java.security.AccessController.checkPermission(AccessController.java:546)
at java.lang.SecurityManager.checkPermission(SecurityManager.java:532)
at java.lang.SecurityManager.checkMemberAccess(SecurityManager.java:1662)
at java.lang.Class.checkMemberAccess(Class.java:2157)
at java.lang.Class.getDeclaredMethod(Class.java:1934)
at com.sun.javafx.tk.swing.WindowStage.setIcons(Unknown Source)
at javafx.stage.Stage$_SBECL.onChange(Unknown Source)
at com.sun.javafx.runtime.location.SequenceVariable.notifyListeners(Unknown Source)
at com.sun.javafx.runtime.location.SequenceVariable.setAsSequence(Unknown Source)
at Main.javafx$run$(Unknown Source)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(NativeMethodAccessorImpl.java:39)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:25)
at java.lang.reflect.Method.invoke(Method.java:597)
at com.sun.javafx.runtime.provider.GUIRuntimeProvider$1.run(Unknown Source)
at com.sun.javafx.tk.swing.SwingToolkit$StartupRoutine.run(Unknown Source)
at java.awt.event.InvocationEvent.dispatch(InvocationEvent.java:209)
at java.awt.EventQueue.dispatchEvent(EventQueue.java:633)
at java.awt.EventDispatchThread.pumpOneEventForFilters(EventDispatchThread.java:296)
at java.awt.EventDispatchThread.pumpEventsForFilter(EventDispatchThread.java:211)
at java.awt.EventDispatchThread.pumpEventsForHierarchy(EventDispatchThread.java:201)
at java.awt.EventDispatchThread.pumpEvents(EventDispatchThread.java:196)
at java.awt.EventDispatchThread.pumpEvents(EventDispatchThread.java:188)
at java.awt.EventDispatchThread.run(EventDispatchThread.java:122)