If you use the overlay option in the video module and generated a thumbnail for the video, you will notice the play icon on top of that image as seen here:
However, if you want to change it, it can be done with a simple CSS code:
margin-left: 0 !important;
The result can be seen here:
Be sure to change the image link, the width and height of your image.
Add the code in Dashboard > Divi > Theme Options > Custom CSS field, to apply globally (for all video modules)
Or add the code in the page custom CSS settings, to apply on the current page only.