The magnifying glass image and the CSS to display it seem to be missing from all the v4 e v5 themes.

[fulviocanducci]

Ref: select2/select2#4629 (comment)

I miss this feature too. The magnifying glass image and the CSS to display it seem to be missing from all the v4 themes. My workaround was to lift select2.png and select2x2.png from the v3 files and insert the following CSS into my application:

.select2-container--default .select2-search--dropdown .select2-search__field {
  background: url(select2.png) right top no-repeat;
  background-position: right -22px;
}

@media only screen and (-webkit-min-device-pixel-ratio: 1.5), only screen and (min-resolution: 2dppx)  {
   .select2-container--default .select2-search--dropdown .select2-search__field {
      background-image: url(select2x2.png);
      background-repeat: no-repeat;
      background-size: 60px 40px;
      background-position: 100% -21px;
   }
}

I notice that some people have made their own themes that put the icon back. For example, this Yii2 integration:
http://demos.krajee.com/widget-details/select2

Originally posted by @rohanc in select2/select2#4629 (comment)

[apalfrey]

I can take a look at it, but I'll have to set it so that it's disabled by default. When it's implemented, all you'd have to do is enable it in _variables.scss and recompile the theme.