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.
Creating custom tiles for IE11 websites