We have a Managed Scripts folder setup in Vault where we keep the master .ivb file.
When you do a "Get" from Vault it copies the file to the local machine like any other Inventor file assuming you have your project setup correctly.
As an extra precaution the Vault Administrator keeps the file checked out so that other users cannot accidentally check it out.
With this method you do have to alert users to do a "Get" on the file from Vault when you have checked in changes but, it also gives you versioning on the file.
Versioning is important if you ever need to roll back because users are having serious issues with a macro or there was an accidental change.
We went away from the icon pointing to the .cmd file because it requires the user to make sure they are clicking on the correct icon.
Which means there is a possibility that a user will click on a default icon negating all that extra work.
We also found it a pain to maintain and distributed the modified icon every time you upgrade Inventor or make a change.
And lastly, you don't get versioning.
Automation is key!