It does have to be 256 colours. However, getting this wrong will not cause the error mentioned - the game will continue on as usual but the picture won't show properly. And in this case, the error is nothing to do with the picture file, not even its name. The problem is to do with the title of the entry in the PediaIcons file, that is, #WON_SPLASH_BLDG_Crusading_Order. That is the title that the game expects to find, since it should be the same as the title used elsewhere (with WON_SPLASH) at the start. You must have misspelled it or something.