In Views 2 and Views 3 (6.x branch) an icon indicates that an option has more options inside.
Here is the original issue: http://drupal.org/node/534680
And this is how is at this moment in:
Views 6.x-3.x http://img62.imageshack.us/i/drupal63.png/ (with padding and icon)
Views 7.x-3.x http://img813.imageshack.us/i/drupal73.png/ (doesn't have padding)
Views on Github: http://img337.imageshack.us/i/drupall7ux.png/ (without icon and padding)