Is the game set to a different resolution than the desktop?

Ok, thanks! You can't prevent the icons from moving, but you can setup Monitor Profiles and Desktop Icon Profiles so that their positions can be restored automatically:

• Setup your icons the way you want them
• Right-click the DisplayFusion tray icon, navigate to Desktop Icons > Save Profile > New Profile and save the layout
• Open the DisplayFusion Monitor Configuration
• Click the Save button and save your monitor layout as a new Monitor Profile
• Click the Manage Monitor Profiles button, and in that window, assign your Desktop Icon Profile to the Monitor Profile
• Launch, then exit the game to test it out