From the Track Pictures Browser select User option.
Click Import and select your Icon using any of the supported formats.
If successful the image will be placed in the user browser and will be available for use.
You have to import your Icons/Pictures one by one. (Even with drag and drop)
If your selected Icon contains a Transparency colour , Cubase will change it to a solid colour.
Actually Cubase makes a copy of your imported image (with the new solid colour) and places it in the folder C:\Users???\AppData\Roaming\Steinberg\Content\VST Sound\User Content\Track Pictures
You must now open this folder. Then copy and replace the Cubase generated file with your original Icon file (containing Transparency).
Close you Project and reopen it again.
You should now see your user icons with the correct transparency.
You only have to go through this process once and then your Icons will be available to all projects.
Hope this helps.