Where is the icon used in this dialogue box?

Lock Icon

The lock icon is located in

/System/Library/CoreServices/SystemAppearance.bundle/Contents/Resources/Assets.car

1. Install Theme Engine

   Note: You may want to download the released version.

2. Open the file

3. Select Security
4. Drag the icon to the desktop to convert to a png

Finder Icon

macOS just places the app icon in front of it.

I think you want to know where the system icons are stored.

Navigate to:

/System/Library/CoreServices/CoreTypes.bundle/Contents/Resources

To do that easily, press cmd+shift+G, then enter the directory above and press Go.

You'll find all the system icons in this folder. Look for the one you want.