Just tried this out, but I don't know if it will suit you. It cannot be done on the master slide, which is a pity:
- select the feedback caption to which you want to add a smiley
- open state view
- add a text caption
- change the font to Wingdings
- insert a smiley (J,K,L) and position it
The second part of your question is different. If you want to replace the character, you'll have to use custom feedback, get rid of the default feedbacks. The idea is to trigger immediately the second step of the Submit process, which means you execute the actions On Success immediately. However if you allow multiple attempts on question level, this is not the case for the Last Attempt action which will only be done after the last attempt. More info about this kind of tweaking:
Question Question Slides in Captivate - Captivate blog