Hello @yann,

Now, to have the icon in the menu section above the menu items you have to add the font awesome classes in the backend in menu sections.

For this goto Admin Panel > Appearance > Menus .

To make the section to place the CSS classes appear you have to check the CSS classes in the screen options as seen in screen shot below.
http://image.prntscr.com/image/73df40b42c724926866f3dd2b2a2a8fd.png

Here in the particular menu item assigned to menu, you can see the section to place the CSS class. There you can place the CSS class and you will have the icon in front end.

For more clear information please refer to below screenshot.

http://image.prntscr.com/image/3e61809bc7c44103a900c8f82b968865.png

Hope this helps.

Regards!!