That's the indication that your ICE is running and producing power to either drive the wheels and/or to charge the traction battery--it can do both at the same time. You can inspect the green arrows to determine whether your traction battery is charging or driving the wheels also. The green arrows will either be from or into the traction battery. You may also notice the ICE running at times in cold weather but no red arrows, and in that case it's only running in order to produce heat. This is usually in parked situations.
