1- to set the icon of the attack and defence type, go to ( Advanced ) and select ( Game Interface ), clik the box ( Use Custom Game Interface ) here you go, you got access to the list.
2- to make your own custom loading screen, i suggest you to use the map ( Monolith ) for exemple.
3- you can import all the icon you want, it dont make the game lag, only 3 thing can make your game lag : slow conection, slow PC and when you play a huge map whit to many units on it. maybe more but it not come to me now.