Yes, the forum's missing a FavIcon (Favorites Icon). Might add one, it's really simple.
@Pavroo: If you're interested in adding it, then it's a simple matter.
1. Place a 32x32 favicon.ico file in the forum root directory (aside index.php).
2. Make a PNG file (also 32x32) and add something like this:
<link rel="icon" type="image/png" href="icon.png"/>
to the template file (or index.php if that's there the template is).