I did attach the (i hope) water line.
Smog is correct. The ice maker could care less how the water gets to it. The saddle valve is just a quick and cheap way to do it when there is no T installed in the water lines somewhere.
You could use a two way splitter with compression fittings. Requires no sweating, only a wrench and pipe cutter 1/2 x1/2x 1/4 depending on where you attach it. if you use replace an existing valve it will probably be 1/2 x 1/2 x 3/8 x 1/4. If the existing valve is already compression fitted this will be a simple job. What ever you do , dont over tighten. You can always go back to tighten more, but if you over tighten, you may be meeting a new friend. The Plumber.
It's the easiest way for a do it yourselfer to get water to the icemaker. I think you probably found the cold water pipe under your sink. Pretty much the only other option is plumbing in a 1/4 in tee to your existing pipes the way all your other water pipes are connected.