With the new business function delivered in SAP CRM 7.0 EHP3 we can have now icons and colors for the alerts.
Business Function: CRM_IC_CEBP
After activating this business function you will have new node in SPRO as shown below where you can configure themes for alerts.
SPRO->Customer Relationship Management->Interaction Center WebClient-> Additional Functions->Define Theme for Alerts
After above configuration login into IC_MANAGER business role and create new alert with theme as shown below.
After configuring the alert, assign it to the respective rule policy to display in Interaction Center.