Here is a post detailing how to set default formatting:
Normally I would merge a query like this with that thread, but it seems you are describing something unusual. You do not see any options, you have nothing in the Format menu for this, and you have a Settings icon (this is a Project settings icon, maybe that’s what you mean)? Are you perhaps using a very old version of Scrivener? What do you see when you use the Help ▸ About Scrivener menu command?