|An "Mp3" is associated with a specific program. If you use a different audio player it can be changed to that icon instead (or any other if you try hard) but it is still global. I guess it does have some advantage in that the icon gives an immediate indication of its function.|
A shortcut is actually an "Lnk" link file (with a hidden file extension) and not related to any specific program. It can therefore be given any icon you wish.
I accept that the situation is not totally clear cut, so perhaps another way of putting it is that MS designed it that way LOL....
Please come back and let us know the outcome.