If you open a Desktop Shortcut created by Firefox Portable in a text editor, it reveals the path to the PortableApps Firefox installation it was created with. That might be fine if you were dragging to your flash drive to make the link, but they're often created by dragging to the desktop. You don't really want a file with that path in it there.
The line "IconFile=" should have nothing after the equals sign instead of any path.
Firefox itself does this. There's no way to prevent it in its settings. You'll need to adjust them manually to remove the icon pointer or set your own.
Sometimes, the impossible can become possible, if you're awesome!
Or you could report it to Mozilla and see if they might be willing to add a method of preventing this behaviour. If they do, then we can use it. If they don't, we obviously can't.