Hi Furry!
Glad you like Soxy. What you're describing sounds correct – Soxy is continuously fighting apps that 'know better', and Adobe apps often do detrimental things to icons and file associations after Soxy left the stage. By the sound of it, this is one of those situations: I think you're right, and InDesign probably writes out a brand new file when you save the .indb, and destroys the old .indb in the process – and hence, also destroys the custom icon along with it.
By that time, Soxy has long disappeared from the scene, and hence, you're left with a new file which gets a 'generic', version-less Soxy icon. Soxy only comes back into the picture next time you double-click the .indb, at which time Soxy can slap on a custom icon – only to be thwarted again next time you save the .indb.
We're always concocting new schemes to try and work around the oddities of various apps (especially on Windows, things get positively hairy, with apps sparring for control over who gets to open the file).
One of the schemes we're working on is to keep a Soxy 'daemon' alive in the background to fix up things that happen 'at a later time' – we already do that on Windows, but we'll probably also have to do it on Mac, to re-adjust things after other apps have had a go at wrestling control away from poor wee Soxy.
When software development duty's to be done, to be done, a code cutter's lot is not a happy one.
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