Right click on the mtpaint.desktop file on the desktop and open with leafpad.
You will see something like this...
The last one "Icon=icon.xpm", is the problem as icon.xpm does not exist in /usr/share/pixmaps/, I think it's just a generic place holder.
Try changing that line to 'Icon=xpaint.png' without the quotes.
Save your changes.
You should see an icon appear right away.
You can use pictures from other areas than /usr/share/pixmaps as well, but since /usr/share/pixmaps is the default you will have to show the full path...
You may wish to use that one. It is the actual icon for mtpaint.