How do I assign an icon or name to Game Object in Scene view?

I just recently started using Unity and have been following the tutorials but now it seems something is wrong with my setup or it may be a bug in Unity 5.1.1f1 (Personal edition)

Watching
Project: Survival shooter
Spawning Enemies
they change the game object icons to help them later navigate in the Scene however, in my case, doing this results in nothing
animated image

Is this a bug in the current version or I am doing something horribly wrong?

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