As @Rarst pointed out, there is no implementation of a favicon in the RSS spec (although there does seem to be one for Atom).
Feedburner (and other readers) rely on the de-facto standard that the favicon exists at the website root;
Some clients may also try
.gif, but your safest bet is the standard
The problem is that Feedburner looks for a favicon in a directory that doesn’t exist. WordPress is simply using the blog name as an alias.