Adding legend for icons (conditional formatting on a matrix)

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!