I installed Budgie 18.04 in a VM to double-check an answer on the AskUbuntu site, but I don’t think it being in a VM is necessarily significant. Still, I add it for completeness.
See the image:
It’s not something I can click on. Changing the desktop background eliminated the idea that it was just something in the background image because it’s still there with a different background image.
It’s a default minimum installation without even a single update applied. It doesn’t seem to be an indicator of caps lock or numlock.
I’ve no idea what it is. I’ve no idea where it came from. It’s just there. I thought it might be some weirdness with the resolution - meaning it should be in the taskbar but was pushed down, but that doesn’t seem to be the case as clicking on it does nothing.