Why is not possible to change the color bulb icon?
Where? (There are multiple places I can think of such an icon appearing, and the answer--whether it's possible--will depend on this.)
On the dashboard.
I am able to change it the same way I'm able to change (apply a custom icon to) any other Dashboard tile. I did notice that I had to make a change to the device (I toggled it on/off; a refresh of the page might work, too) before the new icon took effect. If this isn't working for you, I'm not sure why, but perhaps you could try one of those things or using a different browser to see if it helps.