In Power BI, in a Matrix, simply determine if the comparison is good/bad/caution with an If statement.
Next, add a calculated column that says if good, then url to that icon listed below, else if caution, reference the different url to that Icon. etc.
This logic can be applied to a Measure, as well. Simply use the same if statement if you do not want to flag each record in your data.
Be sure to set the url as a web url to an image in the categories section in the design ribbon.