Ok, let me clarify.
All versions of Windows can display the icons - Win95, 98, etc all have no problems with hi-res hi-colour icons.
However, the process of replacing the icon resource in the EXE file is the problem.
Currently, AGS just does a raw byte copy of the icon file over the existing icon in the EXE file, which is 32x32 at 16-colours.
The functionality to properly manipulate the resources to add any sort of icons is only available in Win2000/XP (the UpdateResource Win32 API function).
There are other utilities (such as Resource Hacker) which can do it on all versions of Windows, because they have implemented their own resource-editing code. However, this is not something I can justify implementing into AGS.
Therefore, it is possible for you to manually replace the EXE icon with a hi-colour hi-res one using a resource editor. However, for AGS to natively support it would only work on Win 2000 and XP.