In the current implementation, a click on the page component status indicator (or "changed" marker how I call it) doesn't do anything except selecting the bar of the corresponding page element.

In order to support quick reviews, a click on an indicator:

• the page component status indicator, OR
• the "modified" indicator in the status bar of the page editor
  should directly take you to the first, changed component or area.

For more details and descriptions, see: https://wiki.magnolia-cms.com/display/UX/Indicating+changes+in+the+page+editor#Indicatingchangesinthepageeditor-Aclickonanindicatorrevealsthefirstchange