That line with the play button is an error handling path. You set it by looking at the properties of the Call REST action and setting Error Handling in there. You can then set the path between the two actions as the error handler. The error path will be followed if there is a problem with the Call REST action such as the service being called returning a 500 Internal Server Error.
There are more details on error handling in the Mendix documentation.
I hope this helps.