Lemmy and Mastodon can talk to each other, not fully but especially Mastodon can see and write to Lemmy communities (although posts are ordered by publishing date since it can't understand upvotes). What the icon does is show you a comment or post on the original instance it was sent from.
If a Mastodon user sends a comment to Lemmy that icon will link to the same post but as seen on the original instance it was sent from.
Oh nice. DoH is increasingly important to protect one's privacy.