Originally ModalDialogs were toolpanels and the extended Window style WS_EX_TOOLWINDOW was set to true. This Windows style says that it cannot display an icon (MSDN: Creates a tool window; that is, a window intended to be used as a floating toolbar. A tool window does not appear in the taskbar or in the dialog that appears when the user presses ALT+TAB. If a tool window has a system menu, its icon is not displayed on the title bar.).

In DataFlex 12 the toolwindow style was removed and you can now show an icon without having to do difficult work as I did in v5 with cIconModalPanel.

The Page method is the place to set the icon. Don't know if this can be changed. Will log that as request.