Interesting. I had not thought much about it. I never made use of the icons, and figured they were just eye candy. However, I see that the icon does act as a proxy or alias, for example in the Finder and Pages.
In Lazarus, dragging the icon gives an alias to the application. Since that does not seem useful, and does not follow the Cocoa UI guidelines, I'll guess I will turn them off. I'm sure no users will miss them!
Thanks!