I'm not sure about an icon, but you can set the Excel application title and/or status bar text based on a sheet's protection (or on a workbook's protection).
For example:
When your selection changes, the Application window title (caption) will change to either "Protected - Book 1" or "Unprotected - Book 1" (Book 1 being the name of your file.) The StatusBar statement will also set that to the same value (you can remove if you'd like).
I also put this into the Worksheet_SelectionChange event. You may also want it in the Worksheet_Activate event or the Workbook_Open event to check at those times.
Perhaps someone else knows how to manipulate the toolbars and icons through vba..
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