See the attached screenshot:
The icon for selected assets was added in the breadcrumb at the bottom of the project Browser. To keep this consistent the icon should also show up in the Object selection window.

Also, seems like only in the case of Prefabs the icon is missing when the prefab is added as part of the component (see red circle at the right side of the screenshot). Other type of objects have their icon there, too (e.g. Materials)