All module types come with a default icon to show on LXP. However, we can imagine that you want to personalize your platform and adjust some of the icons.
You can do this per module in the module settings. Go to "Content" -> "Modules" -> Open your module -> "Customization". There you'll find the option "Set custom icon".
You can also add a custom (sub)menu item via "Features". Here you can enter one the icon names from below.
Here is a list of all available icons + names: