Hi there,
I would recommend to use Font Awesome plugin, after their recent update, we’ll be able to use SVG icon from fontawesome website, and it only loads the icon you use.
Try to follow the steps below:
1. Install Font Awesome plugin, activate it, and enable SVG option.
https://www.screencast.com/t/jIQGjaxQS
2. Go to fontawesome.com find the icon you’d like to use, copy the html link.
https://www.screencast.com/t/lB6gUBxBQo3
3. Go to Appearance > Menu, add the icon as a Custom link into your menu.
https://www.screencast.com/t/apdrZD3Wne3t
Then the icon will show in the menu location you assigned to.
https://www.screencast.com/t/eLjBuezZ7WQ
Let me know if it works!