Clicking on that brings up the new Privacy Shortcuts menu, where you can manage the Big Three privacy concerns: Who can see my stuff? Who can contact me? and How do I stop someone from bothering me?
Without dropping what you're doing and navigating somewhere else, you can set who can see your new posts (I recommend "Friends"), filter how you receive messages and control who can send you friend requests.
This dropdown menu also provides a shortcut to your Activity Log, where you can review your past Facebook activity. You can quickly find posts you want to take down or pictures that friends uploaded with you in them.
If you don't like an uploaded picture with your image, use the Request and Removal tool on photos to ask your friend to take it down.