Nothing abnormal about that. Be default, IE does not retain favicons after a restart or after the browser is closed and re-opened.
To make favicons permanent, you must either install some add-on or use a utility, such as FavOrg from PC Magazine (pcmag.com), or you must manually save the favicon to your hard drive, then change the icon for that website to the one you saved. To do that, select a Favorite, right click on it, select Properties, click on the Change Icon button, locate your favicon and save the change.