are you asking if the icon is in the game data file?
If so then no... It is a seperate file inside of the save directory. Each gamesave is a directory on the MC. Each gamesave has at least 3 files in it. The actual save data file, a icon.sys file, and the icon file (usually ends in .ico or .icn).
I have a few games that save several "games" inside of one gamesave. Thus having multiple data files. Also there can be multiple icon files to a gamesave. The best way to find out which file you amy want to extra or change is to use PS2 Save Builder from http://www.ps2savetools.com/download...download&cid=1. You can change what icons, or add some because the icon.sys file can refer to 3 different files for a single save. One for the game in the PS2 MC Browser, one for coping, and one for deleting the save.
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