That icon means that the folder it's attached to is (or to Sublime seems to be) a symbolic link to another folder that's already open somewhere else inside of the same directory structure.
Basically, while scanning through folders to find all of the files and sub-folders in a project, Sublime keeps a record of the folders that it's seen previously and if it runs into what appears to be a link to a folder that it's already seen, it displays this icon and stops looking inside.
The reason for that is to ensure that it doesn't end up in an endless loop in some situations, such as if you have a folder that contains a folder that links to a parent, in which case the scan would go on forever.
That said I think the information that it uses to determine if a folder is a link (or that it's seen it before) relies on the underlying file system to provide correct information back. In some cases that's known to go wrong, such as if your file system is being served over SSH, which I think sometimes provides dodgy info.
It sort of sounds like that's what you're seeing here, if refreshing the folder list or restarting makes it change.
What sort of platform and file system is your project being used from?