OK, I found a hack for the icon problem in OS X, and it works. (I think the problem is some kind of file corruption in the game, or an incompatible *.icns file in the app package.)
Anyway, here is the fix:
1) First, you have to grab the icon graphic from Pandora's game page. It will be on the home page, in the lower right hand colomn. (The big "P" icon). Right click on that and save it to your desktop.
http://pandora.proxy-studios.com/
2) You need to convert that png file to an icns file. You can do that with a free program called Img2icns, which you can download here:
http://www.img2icnsapp.com/
3) Launch img2icns, and then drag the png file into the convert window. img2icns will then give you an option to export it as an icns file. Do so, and save it to your desktop. Now you have a Pandora icns file!
4) Rename the icns file you just created to "Pandora.icns". (It has to be named that, or it won't work.)
5) Next, you need to open up the Pandora app package by right clicking on Pandora.app (You probably won't see the ".app" part), and choosing "Show Package Contents" from the context menu. Once the package opens, you need to browse to Contents/Resources and there you will find another file called "Pandora.icns".
6) Just drag the icns file you created from the desktop on top of the original file in Contents/Resources to replace it. If asked if you want to replace the file, pick yes. If you are prompted for a password, just enter your admin password.
7) Close the app package and the icon should refresh on the app, and the game icon on the dock.
That's it! Have fun. =)
