No, that's not the case. When I select the icons at that menu I get:
14:37:41 192.168.0.100:3886 Requested GET /my folder/
14:37:41 192.168.0.100:3886 Requested GET /my folder/favicon.ico
14:37:41 192.168.0.100:3886 Requested GET /~img49
14:37:41 192.168.0.100:3886 Requested GET /~img50
14:37:41 192.168.0.100:3886 Requested GET /~img51
14:37:41 192.168.0.100:3889 Requested GET /~img47
14:37:41 192.168.0.100:3890 Requested GET /~img48
And when the icons is not selected I get:
14:38:37 192.168.0.100:3889 Requested GET /my folder/
14:38:37 192.168.0.100:3890 Requested GET /my folder/favicon.ico
...so the favicons is still there even though it shouldn't be. This does not happen with / though, only with subfolders like that "my folder".