If you have desktop icons running (which are always on by default, actually) then rox is being used to create those icons. All newer versions of rox also set the background image, which will override anything set by icewmbg.
You have two options. You can disable the rox pinboard, but then you will not have desktop icons. You do this by commenting the line in ~/.icewm/startup which says "rox -p=default". You can also just go ahead and use the rox background setter, which is trivially easy to use, by right clicking one of the desktop icons and choosing "Backdrop" from the popup menu.
One thing which is on my todo list is a hack to the rox sources, which will allow you to call their background setter from the command line. That way I can once again create a menu entry for changing the desktop background, and add it to the control panel as well. Since we're upgrading rox anyway and I've already hacked the source for a couple other things now is a good time to do it. I think that I will make the popup message a little better at the same time, so it is easier still for new users to figure out.