The label field of all columns can contain basic HTML as a value but will filter all external URL’s.
It’s possible to use icons from Dashicons as label instead of text.

  1. Go to the Dashicons page and select your icon. Click on Copy HTML to copy the HTML to your clipboard.
    wp_dashicons
  2. Ga back to the setting page of your post and copy the HTML to your label
    Admin_Columns_Settings_‹_Admin_Columns_Pro_—_WordPress