What does this gray "X" icon on the top left of some of my files indicate?

I just recently imported videos from my Canon 70D's SD card onto my MacBook. All of the files are finished importing; however, some files have a circular icon with an "X" mark on the top left.

I was just curious how I could find out what this icon meant and why it only exists on certain files. Clicking it doesn't seem to do anything.

Thanks in advance!

MacOS High Sierra

V10.13.4

MacBook Pro (15-inch, 2016)