Vlad Oh - I never noticed you could enable a badge for the Privacy icon.
It makes sense for Downloads and Privacy because you can click those icons and see a number of blocked items or list of downloads. So a number makes sense.
Yes, I see, the gear icon doesn't have an area to paint so just changing its colour doesn't do much.
The gear icon could have a numbered badge, number = # of non-default settings, as you suggested. Then in the popup when you click the gear, each setting which is non-default has an indicator - perhaps a small dot that has the same colour as the badge.
Is there anything in Apple's design language stuff for indicating that a setting is changed or non-default? I think macOS doesn't tell you at all, and most preference panels do not have a "reset to default" button either.