No repro here either. These are my steps:

1. Create a shortcut (I guess that's what you mean by 'Icon')
2. Here is the Target:
"C:\Program Files\Microsoft Visual FoxPro 8\vfp8.exe" d:\vfptest\testxx.prg

Here is the Start in:
d:\test

3. The c:\vfptest\testxx.prg program has only one line, to return the current directory:
?_vfp.DefaultFilePath

In both VFP7 and VFP8, if I have no default directory set in Tools/Options/File Locations, d:\test gets printed to the desktop when I start the shortcut.

In both VFP7 and VFP8, if I do have a default directory set in Tools/Options/File Locations, the Tools/Options default directory gets printed to the desktop when I start the shortcut.

I can't see any difference between 7 and 8.

>The VFP settings says to go in a specific directory. However, the icon level start in should have priority over that. That was the case in 7. It's not the case in 8.