I discovered, when I set a site as "bookamrked", then the favicon is stored and is shown on "most visited site" (or is it "last visited sites"??). What I mean is, when opening a new tab, then firefox shows me the most visited sites, but here the favicons are missing.
However, when I set a site an bookmark it, then the favicon is shown here. This is strange, because it should show it also, if this site is visited once (or like me, visited often, as I am visting this site every day). Does this help? Hans