Simple as that. What I mean by site icon is the icon that web browsers display for any given site, or the one that appears next to each stackexchange community site under the stackexchange menu.
We do currently have one, it is a little A in a blue speech bubble. This is because we are a site that is still in beta / trial period. If / When we 'graduate' into a full SE site, such as Stack Overflow, we get our own custom designs / logo's ect to highlight that.
Hope this helps!