A solution is suggested here:
http://drupal.org/node/61728 [2]
It didnt work for me probably cause I had set up a multi site.
What did I do:
- upload all favicons by ftp to the files folder
- manualy filled in the path files/my_favicon.ico at admin/build/themes/setting/name_of_theme and save
and this worked...
When I used the upload button it didnt work. I didnt investigate it further why my method worked and the other didnt,... (feel free to contact me [3])
Links
[1] https://dominiquedecooman.com/blog-topics/theming
[2] http://drupal.org/node/61728
[3] http://dominiquedecooman.com/contact