In 2007 they weren't considering exporting games and didn't see the point in embedding an icon that would be exactly the same for every single song they had planned.Personally I think Harmonix should have just included the icon image into each song's data file like they they do with the album art, category, difficulty etc. It would only be a few bytes of data and would avoid the need to patch the older Rock Band games in order to display the songs correctly.
Rock Band 1 songs show up as such because they're in the Rock Band data as save files. The Lego songs are saved as downloadable content, a pack that the game doesn't see any different from, say, the Boston pack or Queen pack or any of those. They could have programmed it to think "If pack == 'Lego Rock Band Export Pack' location == 'LEGO Rock Band'" but that would have required a patch, which would have called for additional testing, probably would have screwed up a seemingly irrelevant detail in the interface, &c. Like I said, more trouble than it's worth.