In NX11 the icons have been removed. Select "Menu > Tools > Materials > Manage Materials". You can either use the default "Library Materials" or select the Library Materials pull down and choose "Local Materials". Right click the material with the green check mark that you want to unassign and choose "Remove Usages".
If you don't intend using the material you can right click the material and choose Delete to remove it from your list of Local Materials. Otherwise you can keep it in your Local Materials, should you wish to apply it to other bodies.