That icon is always shown by default when you use HTML5 output. Captivate uses one of the images or sprites it places into one of the myriad of folders created when you publish out to HTML5.
There are hacks that can be used to remove the icon. Some other posts on this forum have described them. However, the bottom line is that mobile devices usually require the end user to explicitly launch the multimedia content once it has been loaded and is ready to play. So, Autoplay is really not supposed to be an option for those types of mobile devices.