mydialog.setResizable(false);

Dialogs in Win32  do  not generally have icons. Changed so that non-resizable dialogs never have icons, and resizable dialogs inherit icons from their owner frame or dialog.
Calling setIconImage on a Frame will propagate the icon to all it's resizable dialogs (and in turn their Dialog's  if  in  1 . 2  where Dialogs can own other Dialogs).  This  works even  if  the Dialog is already created and visible.
Frames have a setIcon method to change the top left icon of the window.
But in dialogs, there is no way to change the dialog icon.