System Preferences Badge remains after upgrade to macOS 10.15 Catalina

Sometime late yesterday or early today the 10.15.1 update was made available for download (along with corresponding 10.14 Mojave Security Update 2019-001 and 10.13 High Sierra Security Update 2019-006 updates; 10.12 Sierra is likely retired now).

The 10.15 Supplemental Updates were never made available in this way for some reason, but the 10.15.1 update supersedes those updates anyhow. It remains to be seen if other 10.15 updates like the Security or Supplemental updates will continue to be available as they were in the past.

The icons are present: they're just not being picked up by the Finder. That could be a caching problem (of the Finder's).

In the 10 months since this question was asked, it's possible that a system update may have fixed it (by clearing caches as part of the installation, rather than any pro-active fixing).