Ironic enough, I have a similar problem. I save the icon as a 32-bit tga then convert it to blp. It opens and displays fine in viewer but when I throw it into a map, it comes up as invisible. I've gone through a few methods and so far only two of the icons I have work. I suspect, somehow, an alpha layer is being added and displayed in the editor instead of the icon layer. Not sure how ti fix it yet but I'll keep toying with it, lemme know if any of you guys know how to fix this issue.