A bit too vague. There is no such thing as an ICAO licence. It can only have been a licence issued in a foreign country that was a signatory to the ICAO. That is just about every significant country and supranational aviation authority on the planet.
Most allowable expenses in the Uk for an employee, require that you incur those expenses wholly, necessarily and exclusively (all three tests to be satisfied) in connection with your actual employment, rather than simply in order to make you eligible for said employment.
I am guessing their objection is based on these tests?