I had a quick moment to study this behavior for myself, and found that setting "Open With" and "Change All" in the "Get Info" dialog works as expected, with one caveat: if Mathematica is already running, the CDF will instead open in that. It's simply one of the launch services rules we follow since Mathematica and Player have to operate interchangeably. I.e., the behavior in response to "Whether to launch a new instance of the application, even if another instance is already running" per Apple's developer LSCConcepts documentation.
As for the icons not displaying, you might search for "reset LaunchServices" and see if that helps. If you continue to see problems with both of these issues, our tech support folks should probably get involved and gather more detail on the specifics.
