Hi,
The fact that the icon is labeled as Windows Explorer even though it clearly appears to be something else could be a sign of a potential virus. However, before assuming that it is malware, right-click the icon and select Open file location. Does it still take you to C:\Windows\explorer.exe? If it does, this could simply be a glitch with the icon.
Still, since Windows Security did not detect or notify you of anything unusual, I suggest running a scan with Malwarebytes as an additional check. This can help determine whether a threat is causing the issue and remove it if anything is detected.
https://www.malwarebytes.com/mac-download
Disclaimer: This is a non-Microsoft site. The information seems reliable, but be careful with ads. Research any product before downloading.