This is about a Warning issued by libpng. Means the image file PNG that you are using possesses Chunks iCCP invalid.
To remove the Chunks invalid of an image PNG, you can use the utility convert library ImageMagick passing the argument -strip at the command line:
$ convert icone.png -strip icone_ok.png
Assuming you have an image file, in the format PNG, with dimensions of 400x400, called icone.png:

Follows a program capable of loading the image above through the function pygame.image.load() and then use it as the icon of the window created through the function pygame.display.set_icon() without any kind of error or Warning:
import sys
import pygame
pygame.init()
icon = pygame.image.load('icone.png')
screen = pygame.display.set_mode((500, 500))
pygame.display.set_caption('FooBar')
pygame.display.set_icon(icon)
screen.blit( icon, (50,50))
clk = pygame.time.Clock()
running = True;
while running:
for event in pygame.event.get():
if event.type == pygame.QUIT:
running = False;
pygame.display.update()
clk.tick(25);
pygame.quit()
sys.exit()
Example being tested in a desktop Linux/GNOME:

Could you include the full code in the question ? Could you provide the image . png ? Can you reproduce/isolate errors in a minimal example ?
– Lacobus