When displaying a QWidget in a QGraphicsScene, it's impossible to use setWindowIcon on the QWidget

When creating a QWidget in a QGraphicsScene :

QWidget *pWidget = new QWidget;
pWidget->setWindowIcon(my_Icon); // This seems to be not working ! I can only see the Qt's icon !
QGraphicsProxyWidget* pProxy = this->addWidget(pWidget, Qt::Window);

When I try to change the default widget's icon, it's not working at all.

It seems that changing the Qt::WindowFlags on the ProxyWidget has a very inconsistent behavior.