Prior to December 2017, the URL Icon toggle worked correctly - it would change fields with the data category "Web URL" from a text string to the little "link" icon (the URL was being used as a Row Header in a matrix visual).
In one of the releases since, that functionality has broken. New Matrix visuals with properly-categorized fields can't be toggled to show the link icon. The switch in the formatting pane exists and can be flipped on and off, but the visual will only ever show the url text string, never the icon. See screenshot for an example of a visual set up to show the icon, but that still shows the text string.