Replace the code you have for dropdown folder label with this. Should work.
.header-nav-folder-item:nth-child(1) a {
color: red !important;
}
.header-nav-folder-item:nth-child(2) a {
color: red !important;
}
Change the number depending on the link you want to change.
We have code for adding icons here: https://bamn.digital/blog/add-custom-icons-to-squarespace-navigation