After doing a bit of investigating (after running into this myself), I've found the answer. This is a feature for MSI computers. Pressing the keys FN + Arrow Keys will trigger different actions, and one of them is the red crosshair. The software involved is likely the MSI Center.
The red crosshair is meant to be used in games where certain weapons don't necessarily provide a crosshair. On my laptop, you can toggle it using FN + Down Arrow. Fans can be toggled with FN + Up, Pause/Play with FN + Left, and Display with FN + Right.
Anyways, check out this Reddit thread. It provides more information as to what each combination actually does: https://www.reddit.com/r/MSILaptops/comments/105cwz9/pulse_gl76_what_do_these_icons_on_the_arrow_keys/
I know I'm a bit late but just wanted to post this to help people out.