After a tip from kklosson I now know this isn´t a bug afterall. The icon in column header works, I had just missed to assign the actual icon to the attribute and therefore it wasn´t displaying in queries. To configure an icon for an attribute, open the attribute in the configuration tool and under presentation you have "Icon:" just below label and if you set an icon there and activate the column header icon options, the icon is displayed in the column header.
Just a note to support, Kklosson said this only worked sometimes, could you have a look at this functionality to see if there are any bugs there? Kklosson, could you possible explain a bit more on when you have experienced this bug? Thanks