Since resource embedding is extremely OS and compiler specific and since there are often multiple ways of doing it, SFML can't provide a general API for loading from such code, however the setIcon function only requires a pointer to an
sf::Uint8 array (pixel array) and the size of said array, thus if you find a way to read the pixel information of the embedded icon, you'll be able to transform it and set it with SFML's function. Also keep in mind that
sf::Image has a function
loadFromMemory(), thus if you find the memory location of the icon, you might be able to simply call that function and SFML will create an image as if it would've read it from the harddisk, then you can call getPixelPtr and pass that to the setIcon function.
With Linux or essentially GCC (I think), you can just add a file to the compiling line and let it get built into the binary. I'm not sure how'd get the address to read the file from that location, but if you find a way to get to that image location, you should be able to load it into an
sf::Image as described above.