You mentioned that you are running OS X Lion, however I knew that even without you mentioning this. This is a known bug in the Finder in OS X Lion. The rhinodocs.icns file is inside the Rhinoceros application bundle. The Finder starts copying Rhinoceros before it figures out that there are files in the previous version of Rhinoceros that are still in use.
There are two fixes:
- Drag the previous version of Rhinoceros to the trash before starting the copy.
- Upgrade to 10.8 (or upcoming OS X Mavericks). The 10.8 Finder does this correctly.