That is there because it is hotswapable. It doesnt want you to take it out, that icon is there so you can take it out while the O/S is still running.
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Hot swapping or hot plugging is the ability to remove and replace components of a machine, usually a computer, while it is operating. Once the appropriate software is installed on the computer, a user can plug and unplug the component without rebooting. A well-known example of this functionality is the Universal Serial Bus (USB) that allows users to add or remove peripheral components such as a mouse, keyboard, or printer. It usually requires more sophisticated software and hardware than does plug-and-play.
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