When connected remotely to a computer the icon will glow green, yellow, or red based on the status of that machine. So if something was failing on the system the icon would be red or if there had been 100s of failed login attempts it may display yellow. Additionally, you could right click that machine and click options where it will open up a windows displaying the current information.
Yes I agree with this idea/feature. MobaXterm shows it pretty well like in the screenshot. It would be awesome to see Royal do something like this on Windows and Mac version.