The WordPress Theme MyStem use Font Awesome 5 and you can add icons in menus items.
To do this, you need to perform simple steps:
1. Choose icon on site fontawesome.com and copy icon class
2. Now head over to Appearance » Menus and click on the Screen Options button at the top right corner of the screen. On the screen options menu, check the box next to CSS classes.
3. Next scrolldown to click on any item in your current menu, and you will notice a CSS class field. All you need to do is add a CSS class to your menu item.
After that, you can see the icon in the menu item