[ghshephard]

The nice thing about differently colored icons is that they

  A) Are not more complex.  It's still just a Location Icon. 
     Clearly explains the Privacy Scenario.

  B) For those that are alert to the color, provides 
     more information that can be very valuable.

There seems to be a deeper concept here - creating user interfaces that add information for experts without introducing any more complexity for beginners - kind of like the RSSI indicators you have for WiFi - they show you are connected _and_ how strong (roughly) a connection you have.

[glhaynes]

Colors are more complex, though: people notice that the color changes and so they understand that something else is going on (something they should know about, presumably!), but don't necessarily know what it is. It causes anxiety to have a device indicating something to the user when the user doesn't know what it is that it's trying to tell them.

Which is not to say that using color would necessarily be a bad idea in this case, but it wouldn't be entirely "free".