Your question guided me somehow (thank you Abu Baniaz) and I think I have found the problem.
First, to answer your question, this is the xml (part of it) that xteve sends to plex, as the EPG info (with picons included, picons taken from external source)
-----------
<?xml version="1.0" encoding="UTF-8"?>
<tv generator-info-name="xTeVe" source-info-name="xTeVe - 2.2.0">
<channel id="1145">
<display-name>Comedy Central</display-name>
<icon src="https://static.****.ro/img/tv/stations_logo/40/comedy-central.jpg"/>
</channel>
<channel id="1059">
<display-name>AXN HD</display-name>
<icon src="https://static.****.ro/img/tv/stations_logo/40/axn-hd.jpg"/>
</channel>
-----------------
Now this is what I have found:
The picons list in OpenPLI/Enigma is available at http://box-IP/picon/ and EPGExport plugin "knows" to get the corresponding picon from there BUT, EPGExport does not authorize the connection to http://box-IP/picon/ (there is no option to insert user/password) so I had to force somehow the connection to http://root:password@box-IP/picon/
This is how EPGExport sends EPG info:
-------
<?xml version="1.0" encoding="UTF-8"?>
<tv generator-info-name="EPG Export Plugin © gutemine 2019" generator-info-url="https://sourceforge....cts/gutemine/">
<channel id="TVR INFO HD">
<display-name lang="en">TVR INFO HD</display-name>
<icon src="http://192.168.100.1...n/tvrinfohd.png" />
</channel>
<channel id="EURONEWS ROMANIA">
<display-name lang="en">EURONEWS ROMANIA</display-name>
</channel>
<channel id="JimJam">
<display-name lang="en">JimJam</display-name>
<icon src="http://192.168.100.1...icon/jimjam.png" />
</channel>
------------
And here is what I've obtained after I have modified settings:
------------
<?xml version="1.0" encoding="UTF-8"?>
<tv generator-info-name="EPG Export Plugin © gutemine 2019" generator-info-url="https://sourceforge....cts/gutemine/">
<channel id="TVR INFO HD">
<display-name lang="en">TVR INFO HD</display-name>
<icon src="http://root:password...n/tvrinfohd.png" />
</channel>
<channel id="EURONEWS ROMANIA">
<display-name lang="en">EURONEWS ROMANIA</display-name>
</channel>
<channel id="JimJam">
<display-name lang="en">JimJam</display-name>
<icon src="http://root:password...icon/jimjam.png" />
</channel>
------------
Now it works, I get picons in Plex and other IPTV players, getting EPG directly from my VU box.
Now I'm looking how to fulfill all the missing picons (I don't know yet how to do it).
Thank you very much Abu Baniaz!