The workaround is as follows:
1. Pin a local application (e.g. Calculator)
2. Show the properties of the pinned item (%userprofile%\AppData\Roaming\Microsoft\Internet Explorer\Quick Launch\User Pinned\TaskBar)
3. On the Shortcut tab, change destination path and start folder to be where your remote executable file is
4. Change icon (to that of the remote executable)
5. On the General tab, change taskbar icon name
6. Start your remote application (note that the wrong icon is displayed). Whilst the application is still running, unpin it and then pin it again. The correct icon will then be used.