I don't know about the icon, but there this (in case you weren't aware of at least the custom message possibility):
9. To display a custom message if validation fails, select Display custom message if validation fails. Type a message (up to 255 characters).
You can also use a script in conjunction with Set Error Capture [<on or off>] (http://www.filemaker.com/help/11/fmp/html/scripts_ref1.36.14.html). I don't know if this will suppress data validation errors. Presumably it will?
Then go here to find the relevant error codes (http://www.filemaker.com/help/html/error_codes.html#1027502). Validation errors start around #500.
Then perhaps use Get (last error) (http://www.filemaker.com/help/html/func_ref2.32.36.html) so your script can know if there was an error and you can script what happens next (including a custom message). Hope that helps!
The validation custom message offers very limited options and what I see as a very awkward and possibly confusing list of options for what the user might do in response to that message.
I'd consider setting up the OnObjectValidate trigger to run a script instead. This makes it possible to set up a much more user friendly system for handling the user error.