Because dll's are libraries and icons are regular resources.

I'm guessing that most JVMs uses the function LoadLibraryEx for windows
and dlopen for unix.  Both of these C functions take a string which
gets mapped to a file (in most cases).  Niether of these C functions
know how to load libraries out of jar or zip files.

In order for a java application to load these from a jar, they would
probably have to extract the dll's or SO's from the jar to the
filesystem.  You could do this manually in your static initializer if
you really wanted to.

I believe that there is an option to specify native libraries, for use
in webstart applications, downloaded from a webserver.  You might take
a look at how webstart does it, or just use webstart for deployment.

Basically, loading executable native code into a process space is
beyond the scope and control of the JVM and the JVM has to fit within
the confines of the OS.

I'm guessing that you are running into some deployment issues.  You
might want to describe the environment and the problems you are having.
However, you might just be curious.......

Because Windows doesn't look for DLLs in jars.