1. It depends how the icon was generated when the alpha was made. For example creating a material for an alpha in Designer can generate a spherical icon and include that in the sbsar file used for the alpha. The example below is two versions of the same custom font alpha. The first of which I did not generate an icon in Designer and the second of which I did.

2. The alpha shown, in your screenshot, is built into the brush preset (sppr) file and not stored separately.
Dave