Where is the image/icon coming from?

The icon is part of the object's Normal state. 

Hi Michael, what does that mean? How do I edit it then?

I mean, is it an inbuilt storyline object, like rectangle, star etc.? Or was the object created outside storyline and inserted using any option? 

Thanks !

Select the object in the slide, then click the States tab. Then click Edit States and select the Normal state. Now you can select the icon to delete, move, replace. The click Done Editing States.

Thanks Michael, it helped !!

You are a hero indeed :-)

Here is some more info about adding and editing states.