This used to be a problem for me with apps that I moved to my SD card and then the icons that I placed in folders would change to generic droid icons. My work-around was to use a taskkiller to force close HTC Sense and when it was rebooted, all the icons would be fine until manually rebooted the phone again.
Since MR2, I've let the programs install where they want by default and I no longer have any problems, even with the programs that installed themselves on the SD card. I also haven't bothered to move programs to the SD card so maybe that would create the problem again? But I have over a billion apps (yes, litterally a billion) and still have plenty of room on my phone's memory and on my SD card so I've stopped worrying about this and just enjoy all my icons staying in place, even those that installed themselves on the SD card.