What is the meaning of this fiddler icon?
That icon means that the session was aborted by the client, Fiddler, or the Server (see the documentation).
In the modern versions of Fiddler, right-click the session and choose Properties. In the list of flags, there will be an X-Aborted-When flag which shows the state of the session at the time that the abort occurred.
The meaning of all fiddler's icons of each session
Fiddler changed their documentation link.
Here is the new link for all the icons:
http://docs.telerik.com/fiddler/knowledgebase/uiguide