I have the same issue. Some sites don't come with an icon when added to bookmarks, but only with a blank grey initial letter. It happens both in desktop and mobile.
Desktop
Orion Versione 0.99.122-beta (WebKit 615.1.11.7)
MacBook Air M1 - Ventura 13.1
Mobile
iPhone 12 mini - 16.2
1.2.4 (2) (Webkit 8614.3.7.0.6)

(obscured some name with a grey rectangle for privacy)