This symbol is a warning that Toad does not detect the encryption parameters in Oracle client configuration files.
When the user is going to make a connection, Toad checks in SQLNet.ora look for SQLNET.ENCRYPTION_CLIENT set to REQUIRED, and in Tnsnames.ora check the connection for PROTOCOL=TCPS. If either parameter is present, then Toad knows that the connection is encrypted and it won't show the yellow triangle icon. If neither of those are set, then Toad cannot be sure that the connection is encrypted, so it shows the icon.
