Do you mean the icon that's applied to your homescreen when you download a new app?
If so, yes, same here. I use the Nova launcher, and the icon that's installed on my home screen when I download a new app doesn't have the theme applied to it.
Delete it. You should find that the new icon in your app drawer has the theme applied to it.
If you want it on your homescreen, just apply it like you normally would.