I can't speak for the other GUIs, but I do use Perl/Tk under Windows, compiling my scripts using perl2exe. And the icon thing
is problematic. I've found no way to change the script "Tk" that appears in the top bar of the executing program's window, nor to replace the little yellow pearl icon appearing with the .exe file. However, it's an easy matter to create a Windows shortcut to the .exe and assign an icon to that.
If someone has a more direct solution I'd like to hear about it, too!