The gkrellm package in Debian only provides a low-resolution xpm desktop icon. Icons in the xpm format are considered obsolete on modern desktop Linux or even not supported anymore by some desktop environments. Please, consider adding a better desktop icon (png or svg).
This should be (mostly) fixed in gkrellm 2.4.0 because it ships with png icons in several sizes. The need for a scalable icon is tracked in https://git.srcbox.net/gkrellm/gkrellm/issues/42 but unfortunately my graphical skills are far too limited to fix that :) Regards, Stefan