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Alas, the easiest way to solve this is to remove the icons, open your library in the Steam client, right click on a game entry and select the option "Create desktop shortcut". That should create a new icon to normally start your game again.
Hope this helped!
My guess is that there is somehow a disruption between the Steam service and the Steam client (I'll skip the technical details for now, I can elaborate if you want).
Did you by any chance try to reinstall Steam recently?
First thing I'd try is to reboot the computer and then make a desktop icon again. If that still doesn't work then I can't come up with anything else than deinstalling and then re-installing Steam itself. Make sure to reboot the PC after you deinstalled Steam before reinstalling again.
In case you don't know REG files, this is one. Save it into a text file with the REG extension and doubleclick it.