As long as you have the link tag in the frameset document that is the icon that will be used. Not any icon from the frames.

Example frameset document:
HTML Code:
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Frameset//EN" "http://www.w3.org/TR/html4/frameset.dtd">
<html lang="en">
    <head>
        <title>Frameset favicon test</title>
        
        <link rel="icon" type="image/png" href="favicon.png">
    </head>
    
    <frameset cols="250, *">
        <frame src="frame1.html">
        <frame src="frame2.html">
    </frameset>
</html>