In several places on https://developer.apple.com/documentation/xcode/configuring-your-app-icon I read:
"In the Project navigator, select an asset catalog."
But my Project Navigator does NOT contain any "asset catalog". So it's impossible to follow the instructions of the documentation, and thus specify a new app icon (set).
I can add that I use Xcode 16.1 on MacOS 15.0.1 Sequoia.
I have added a screen shot to document what I am saying.
I have also reported this error in https://feedbackassistant.apple.com/feedback/15738182
From the video "How To Add An App Icon In Xcode 14" - https://www.youtube.com/watch?v=OO8PM9PsE90 - and the comment that says use "CMD + Shift + O" to search for 'assets', I can conclude that in my Xcode project "assets catalog" is a weird Apple code for this folder:
Project Navigator -> <app name> -> Resources -> Images -> AppIcon
NOW I can add my single 1024x1024 icon image file, and let Xcode 16.1 create all the size versions it needs!
PS: The answer from "DTS Engineer" just repeats the false claim that there exists an "assets catalog" called "Assets.xcassets". That folder still does not exist in my Xcode 16.1 project... But I solved the problem.