I think I found the solution. It is about saving it as regular cwp file in a specific directory and then renaming it a cwt file.
Create your project. Put your (any) icon in the notes for that project.
Save it as a regular (normal) cwp file in the folder where project templates are kept ( ...\Cakewalk Content\Cakewalk Core\Project Templates\).
Make sure to uncheck the boxes copy audio with all audio with project (so it doesn't create a subfolder).
Then go to that project template folder
and change the file extension to .cwt (if prompted re the change,,,click yes)
and Voila! A Project Template with custom icon.