Adding legend for icons (conditional formatting on a matrix)

CharlotteB , I doubt that. You can use unichar and create custom icon conditional formatting and show legends in the table near to your visual

https://exceleratorbi.com.au/conditional-formatting-using-icons-in-power-bi/
https://community.powerbi.com/t5/Desktop/FORMAT-icon-set-for-use-in-a-data-card/td-p/811692

https://exceleratorbi.com.au/dax-unichar-function-power-bi/

I've run into the same issue.  I would like a key for my end-users to know what the icons mean.  I solved this by making a simple DAX table with just two columns, an ID number and a Description.  I then made a table visual with only the Description field and added conditional formatting to the Description field to reference the ID, set the  icon value accordingly to that Description and voila!