I don’t know if this bug is new or not, but Lutris updated just before I encountered this.
I tried to change the Lutris launch icon for an installed game from the Config dialog. It opens a browse window to locate your icon. I found mine in my (Ubuntu) Pictures folder and clicked “Okay”. Nothing happens. (Tried both .ico & .png versions of the file.)
Clicking Cancel also does nothing. I have to close the dialog using Alt+F4.