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 Format | Adjust ribbon where the Change Picture command remains.
In earlier versions of PowerPoint, the only difference is no ‘Stock Images’ option.
Choose any picture you like, though the new Icons option has a decent selection for this purpose.
These two icons don’t look like audio play buttons, they are for ‘Right/Wrong’ sound effects, played when clicked.
Audio tricks and traps in PowerPoint
Converting MP3 to MP4 audio for PowerPoint
Play audio only when clicked on a PowerPoint slide
Free ways to convert WAV and other formats to MP3 audio for PowerPoint