Ran into this, found what worked best was to not call your custom favicon "favicon.ico" but give it a custom file name. The default mendix favicon is named favicon.ico to prevent conflict I tried changing the name and it worked.
<link type="image/x-icon" href="ui/theme-mendix/images/layout/custom.ico" rel="shortcut icon">
Hope that helps.
A workaround is to replace the favoicon in the webfolder