Hi There,
Thanks for writing in!
can you please point us which script and CSS you are using to make the header transparent and solid on the scroll?
Unfortunately, There is no such setting in the header builder to make the similar header.
regarding the icon, the sample menu is a static menu just to show placeholder. You have to change the menu with your menu and can change or add an icon to the menu items. There is no such option to change the icons in a sample menu which is static.
To add or change icon for a menu you can edit any menu item in Appearance -> menus change the icon there.

Thanks