That's up to you, but generally I've found that Webflow's favicon approach is adequate for my purposes.
Technically, Webflow's current favicons appear to violate Google's requirements in two ways;
I've never had an issue with this, however it is concerning.
<link href="https://assets.website-files.com/59aa30d4b0f23d0001bac49f/59c1d70a11c98c000172ca8f_favicon-32.png" rel="shortcut icon" type="image/x-icon"/>
<link href="https://assets.website-files.com/59aa30d4b0f23d0001bac49f/59c1d70f7333f20001b08711_favidon-256.png" rel="apple-touch-icon"/>
There are two ways favicons are located by a requestor;
Historically, the default path of /favicon.ico is where favicons were placed. This was just an icon file, named and placed in the root folder of a website.
NOTE: This is not necessary. Webflow does not use the .ico file format, or respond to these requests with a favicon.
Specific <link> tags in your HTML <head> are recognized as specifying favicons for various uses.
<link rel="icon" href="/path/to/favicon.ico">
The rel attribute is used to describe the type and use of the favicon.
Edge requires a special file at /browserconfig.xml.
Webflow does not support the upload of arbitrary files. Could you redirect that to an external resource? Maybe. Do you need to worry about this? Probably not.