Caching issues are common with favicons. But you can usually make it work by adding the head code from Brogan's link. Here are the same instructions but more explicit to XenForo:
The favicon always gets cached by the browser (even if you don't have one...) and thats why you are not seeing the favicon after uploading it to the forum root..
upload the favicon to the site's root directory is more than enough and if you want to see the changes, clear your browser's cache