A common complaint about Power Pivot KPI icons is that it seems no matter which set of icons you select, it only shows the standard Red-Yellow-Green circle icons.
The reason for this is that the icons are intended to be used with Power View. The only icon set that presents itself in Power Pivot is the first set (Red-Yellow-Green circles), all others work in Power View.
To get around this, create the KPI in Power Pivot as you normally would, but then use Excel’s traditional Conditional Formatting tool to change the icon to one of the icon set in Conditional Formatting library.
The good news is, there are more icon sets to choose from. The bad news is, you will have to select them each time you need to graphically represent a new KPI measure; you wouldn’t be able to recycle the newly selected icon in multiple Power Pivot tables. It’s just a few extra clicks, but it would be nice to not have to execute this workaround in the first place.
If you’re asking, “Why even have graphical KPIs if the built-in Conditional Formatting tool is better?” Because Power View does not have any built-in Conditional Formatting capability. So, this is better than nothing.