I think the red footprints are just an artistic thing to put on the quest guide. You won't ever see any quests showing that icon.
Also the orange (!) icon underneath is telling you that you have a conjurer class quest available, or will change to reflect whichever class you currently have equipped. (If you are up to date on class quests, on PS4 at least, there will instead be a line there saying [Touchpad]: confirm destination. I'm guessing there's just no second message on PC.)
If you click on either quest, or use the touchpad to move the cursor onto it and press X, you'll bring up a map of where your next objective is located.
I'm not sure if there's a guide to all the icons and statuses (if that's what you're after) but it would be very useful. You can put the mouse pointer over an icon to get a description of it, but it's hard to do that in combat.
If you're just meaning quest icons, there are three main types:
- the Main Scenario quests
- "Blue" quest icons with a (+) sign, which are important sidequests that will unlock some sort of extra feature. This includes class/job quests.
- yellow icons, which are low-priority sidequests.
Yellow sidequests will still reward you with things like new gear, so I think it's worth doing them as you go. But don't go running off to distant map locations because you can see quests there - they're designed to be done alongside the MSQ, so stick to ones in the area where the story is currently taking place. It will send you to the other places later.
If your character level is getting too far ahead of the story level (ie. the level written on the "title card" for the quests) it's a good idea to have a second class that you can 'share' EXP with instead of putting all of it into the one class. If you enjoy playing as conjurer, arcanist is quite similar, at least to begin with.