If this has not been fixed yet. This is currently working on 4.0 but you will need to do this each time you upgrade your site. Locate a file in the wp-admin folder called admin-header. Around line 50 - 55, locate <Title> and right above it, place the following code
<link rel="shortcut icon" href="Link to your sites Fav Icon" />
As I said, this is working on WP 4.0 and will need to be fixed each time. This should not be required as long as you keep people out of your Dashboard area. Use Buddy Press and custom pages for all site functions for members.
The makers of wordpress realized that the dashboard was for site owners only so it was not really a big concern to add in a favicon option. But if you feel its really necessary. Then follow what I suggested up top and you will be good to go.
Now if your theme does not offer the option for the front end of the site. You would then need to locate theme folder and manually insert the same code up top.
In this case it is best to place your favicon in the WordPress main folder or root directory and always use the option of a full url
This method will allow the favicon to be called on any page including forums such as bbpress that does not call for it if you use any other method.
Hope this helps out for any future searches.