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The tkinter.messagebox functions, e.g., askyesno(), do not use the application's icon (if it has one). Nor do they accept a bitmapicon option, so ISTM that it is "impossible" to set one.
The same is true of tkinter.dialog, but for that it is easy enough to write one's own replacement with the code like this:
 try:
 tkinter._default_root.iconbitmap(iconName)
 except tk.TclError as err:
 print(err)
(where iconName is "path/to/icon.ico" on windows, "@path/to/icon.xbm" on Unix; and this isn't done on Mac).