Has anyone experienced this with Icon??

^You're thinking stock Bilsteins where the shock shaft is on top. With Icons (and most other "performance" shocks) the shaft is on the bottom. There's a pin stem on top of the shock body attaching to the frame, with no allen key provisions. To hold the shock steady when tightening the nut, you either grab onto the shock body by hand, or use either set of wrench flats cut into the top of the shock body: