"xz" was missing in the Geany installer. Sorry for that.
Yes, works great now.
Looks like compressed icon (in this case that 256*256 one) can not be last in .ico file, otherwise gdk-pixbuf can not properly read that file (because that libarary still don't support copressed icons).
.ICO files are displayed as noise
Thanks for the info. I actually assumed it was the size of the icon that was the problem and that by reversing the order Thunar would find the smaller icons first. In any case, the problem is solved.