So I went to launch King's Bounty - The Legend this morning when the game deleted both it's .exe and it's icon off of my desktop. Never had a game do that before. It was very strange.

Maybe it's your anti-virus that deleted it? Bit defender tagged my Kings Bounty.exe as malicious. Don't know whats up with that, but I made a post about it. Every other game I get from GOG is fine. I ran kings bounty with nothing strange happening, so maybe its what they call a false positive. Game is awesome by the way.