I have favicon problem too. But my website is with 3 languages. Site with default language dont have a favicon in Home page. On other pages favicon shows and on another 2 languages. Only in default language Home page.
So, i must put my favicon.ico in these 3 folders? Or just in one of them? Favicon.ico still showing only when i logged in in my wp-admin. But in http://www.example.com it not showing.