So, I finally got some GP today and Transfused my Icy with Stealth Screens... but I got a Small Moon.
So, my question is: should I make it Very Massive? Or is it now undesirable? How much would someone pay for a planet like this? lol

I would try another.....small moon is like the ugly step child....(Sorry to say)

Given that nobody wants a planet with a wart, in the end, you'll probably do better with it as your own. You'll do better from a production standpoint (because it still has two nice bonuses) than an economic standpoint (people overpay for Rings/Large Moons, they run away cursing and screaming from Small Moons).