How to set Milestone Icon in console view page directly?
I presume you mean 'Milestone Status Icon'. If that's the case, check that you have visibility permission on the "Stopped Since" and "Entitlement Process End Time". You can then include this icon in Case list view (not sure what you meant by console view)
Quoting the official explanation -
These are fields that are referenced in coding when the "Milestone Status Icon" is calculated. If you do not have visibility on these fields, you can not view the product of the calculation.