I just checked this, and it appears saved with the cwp file. After creating a project, adding a track icon to single track and saving it, no other data files were created on my computer. What is even more odd is that using a stock 28KB guitar bmp increases the cwp size from 259KB to 312KB. That makes sense, no biggie. And the reasoning is probably if you share a project, it will look the same on another's machine regardless of their icon paths (also makes sense).
Then just for fun, I converted my desktop to a bmp (6076KB) and loaded that, and the cwp dropped from 312KB to 299KB! There is definitely a resizing algorithm at play here. TBH, your icon looks like multiply renditions of creating a jpg file (lossy), but since they are stock icons, there is no reason to resize/compress them.