I am afraid that you can not change the icon for the .MSI. The icon for the MSI files is set by the system and it is applied to all .MSI packages.
Even if your package type is of "Single EXE", the classic theme is using .MSI dialogs, thus not allowing you to change its icon.
As a workaround, you can use a theme that is using the .EXE dialogs. For example, you can go to "Themes" page and change your classic theme with a "LightCyan" theme (under "Modern"). That way, the icon will be changed upon rebuilding and running your project.