I agree that it needs to be “built-in”.
But for now, you can swap the icon without any extra software. If you already have the .icns file, simply right click the app, select “Show Package Contents”, navigate to the resources folder and drop the icon files there. Make sure it is named exactly like the executable file inside the MacOS folder, only with .icns extension instead.
One catch: usually MacOS won’t refresh the icon right away, even if you kill finder and relaunch. One quick way to check if it’s correct is to simply copy or move the app to a different folder, it should then display the updated icon.