It only appears when the event location is entered for an event which lives in a Google calendar. (I have a Google CalDAV account set up in my Calendar.app) If I make the event go to a local or iCloud calendar, the icon disappears.
The icon appears as soon the field loses focus and the location text becomes "tokenized" (like someone’s name and email in Mail.app for example). It is a tiny exclamation point inside a yellow circle. The tooltip just repeats the location text when hovering over the icon
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