I had the same concern. While going to see in the software ICue, I noticed that in the settings it is necessary to activate the integration of ICue in the software (and the games).
In ICue (v4.14.179):
- Go in settings window by clicking on the gear at the top right
- In the settings window, click on "software and games" (the last option)
- Activate integration into software and / or games
- Have fun