That button is for bitmap or photo fitted characters, not sprite characters.  It opens your image editor of choice for editing the individual piece or limb.  This is not available for vector based sprite characters.

I noticed in some video tutorials, that you can edit any character part (head, arm, leg etc..) by clicking on a button while in "Character Composer", this button is the fourth one on the left panel, which looks like an arrow hitting a square. Now this button is always un-clickable in my CTA, is it because I am still a demo user or do I have to do something to unlock this feature other than upgrading to full version ?

Thanks in advance!