I was just reminded of this in the 2010 beta, but it has been around awhile, even in KDE 3.5.
When you change the name of of a link (menu or desktop), for example, changing "Firefox Web Browser" to just plain "Firefox," the icon goes away. Why is that? And it seems that often (not always) I lose the link (it disappears and has to be re-constructed) when I try to select a new (or even the same old) icon.
Maybe I'm doing something wrong.... Not that that would be any great revelation.