In late 2016, Microsoft removed the PowerPoint audio ‘Change Picture’ option from the right-click menu for the music icon and they show no interest in bringing the choice back.
The feature hasn’t gone away, it’s just not on the right-click menu where it should be. The workaround is on the Audio Tools | Format ribbon where the Change Picture command still remains.
Choose any picture you like, though the new-ish Icons option has a decent selection for this purpose.
These two icons don’t look like audio play buttons but they are for ‘Right/Wrong’ sound effects, played when clicked.