A really nice feature I would like to see would be the ability to use the Joomla RSS feed icon as opposed to the default one or any icon you choose instead. That would be the icing on the cake.
You can upload an icon image file manually into the icons directory on your server and it will show up in the select list for the module display.
We will be adding a file uploader & manager to the next version to make this easier to do.
Or you can just use any icon you like, anywhere you like and just copy the url into a link around it.