TL;DR: It's the icon for old versions of the NSIS installer.
What does this Windows icon mean?
The image is the icon for older versions of the Nullsoft Scriptable Install System, an installer created by the Winamp team:
Nullsoft Scriptable Install System (NSIS) is a script-driven
installation system for Microsoft Windows with minimal overhead backed
by Nullsoft, the creators of Winamp. NSIS has become a widely used
alternative to commercial and proprietary products like InstallShield,
with users including Amazon, Dropbox, Ubisoft, BitTorrent, and McAfee.
Is there special reasons for Windows to design such a trojan-like ico?
Windows does not design anything, Windows is a product created by Microsoft. Microsoft does design products and features, but only for its products. This icon is not for a Microsoft product.
Also, it is in no way trojan-related, and the image isn't even a horse: it is a llama, the Winamp mascot:
(It really whips the llama's ass!)
When I was uninstalling [software], my Anti-virus software warned me it was attempting to modify environment variables
It is perfectly normal for installers and uninstallers to modify system variables in order to, I. E., add / remove itself from starting at boot, creating file associations, etc etc.
Is [software] really a Trojan?
There is no definite way of knowing, but checking it on VirusTotal might help.