Sorry, but your procedure leads me to C
WINNT\system32\url.dll with some very boring icons. I think this target is some default, if it doesn't find the original icon.
Funny enough, just writing about my problem seems to have solved it. (PPRuNe, your Computer psychotherapy)
Obviously, by saving the link on my desktop, the icons were stored
somewhere and suddenly I could save the Favourites
with the icons.
Now someone sort that one out because I'm at my wits' end...