I'm not able to properly set icons, I've tried with *.icns and *.pngs.
I'm on a El Capitan, MacBook Pro (Retina, 13-inch, Early 2015)
Does this seem familiar to anyone?
EDIT: I should mention I don't want to disable any security
Try changing the icon using Liteicon.
It's a simple application solely able to change icons for applications and some system icons. And if you are changing icons for several applications it should be a simpler and faster way to do it.