Browsers seem to be very flaky about displaying the favicon. IE is the worst offender - it rarely displays it correctly, I find... In fact, it normally doesn't attempt to display it until after you've added the page to your favourites list.
Other browsers, such as NN seem to display it correctly most of the time, but you will need to put the icon link on all pages that you wish it to be displayed for, as far as I'm aware.
Hope this helps,
Dan