Were you able to add icons in the XML before and got it to work or were you never able to add icons?
I tried to add an icon too. It didn’t work neither using the PageBuilder nor when editing the XML. I tried to add the icon as a class (instead of the icon attribute), but that also didn’t solve it.
I think it could be a bug in the ProgressIndicator component.
As for a temporary workaround, you can do as follows:
Create a snippet, which runs when the popup opens. The basic idea behind that script is to find the step-text-content and append a div with the needed classes in order to display an icon.