The Pokémon can't be dismissed if it used in other places (e.g. Follow, Arena, Gym, Assist, Friend-Help etc.), please check all the places and remove the Pokémon from the formation if you want to dismiss it or use it in other places.
The icon around the Pokémon means that it is used in some features:

Z-Move Arena: Solo King/Pokémon Master Assist
Gym Friend Help Follow