One of the major fallouts from Facebook's Cambridge Analytica scandal is that everyone is now suddenly aware of just how much data Facebook and similar apps and sites collect about you. Since Apple has often been critical of these practices, it seems fitting that it's brought that philosophy to its latest iOS update as well.
According to Apple, this privacy feature has been in the works for months, mostly in response to the EU's new General Data Protection Regulation (GDPR) that is in effect starting May 25th. Apple also says that you won't see this icon and information pop-up with every new feature; it's just when Apple needs your information to enable services and personalization.
In addition to the privacy icon, Apple will also start providing privacy management tools in compliance with the new GDPR ruling. Starting in May, you will be able to get a copy of your data, request a correction to your data, deactivate your account as well as delete your account entirely.