Yeah the 8-pin stuff you can't run ICD on. There's a "header board" using another chip which has more pins which get used for ICD, while only exposing 8 pins for the target board. ICD is really excellent- once I got a programmer which used it, it's hard to go back.
Also a problem which is more likely to come up with low pincount devices- you may need to use the MCLR, PGD/PGC pins as I/O too. In some cases, this is no problem. In other cases, the direction and signals used for ICP are not compatible with the surrounding circuitry, meaning no ICP- it must be programmed off the board and installed. This is a major PITA for development even for DIP, and a huge problem for SMD.