Favicons are the icons you see on a browser tab when a website is open. Ordinarily this is just the site logo. By default, your WordPress site’s icon is also the WordPress icon. But this can be changed. All you have to do is go the Live Editor and make the changes there.
To do so, just navigate to the Live Editor, customize the Site Identity and pick an icon in your machine.
You can see how it’s done in the GIF below.