What does it mean and why the 'Correlation Icon' is changing when I switch to averages?
Correlation icon should be treated just as a helpful sign, not as an oracle. Remember that correlation is not causation! :)The Correlation Icon shows the correlation score based on Pearson's formula.
It shows how strong the correlation is behind each factor. The strong correlation implying that a particular signal can be more meaningful than others. Keep in mind, it's just an indicator, not a determinant.

It’s a measure of the linear correlation between two variables X and Y. When you switch chart from averages to non-average results – Y is also changing.
The correlation should be treated just as a helpful sign, not as an oracle. Remember that correlation is not causation! :)