Step 2: Tap the + button in the top-right corner of the screen.
(Reinstall it first using the App Store if you’ve removed it from your iPhone.) Doing this gives you the ability to choose the icon for each shortcut, which effectively lets you change app icons.
Instead, you have to create app-opening shortcuts using the Shortcuts app.
There’s no option to change the actual icons used by your apps on the home screen.