It means that all the messages in the selected folder will be marked as read if you click on the control indicated by the icon.

I know what you said. I am asking about the icon. No other items in the drop-down list have an icon.

Some menu items have icons, some don't. Whether or not any particular item has an icon seems to be affected by the platform in use (Windows vs OSX vs Linux) and the theme in use.

MIne doesn't have an icon by that particular menu item but I'm using Linux and in all probability a different version of Thunderbird. Have a look round your menus. I suspect you'll find a few more icons.

Some items have a checkbox there instead.