A Favicon is a small image displayed next to the page title in the browser tab.
To create Favicon, from Sections sidebar > Theme settings > Favicon.
1. Favicon image
You can upload favicon image from your device. 
2. Favion retina image (Option)
Retina option uses for Apple devices. Because the pixel density is higher than the standard threshold, the Retina display will provide a smoother visual experience with softer curved corners. When you upload favicon image Retina, all customers’ devices which are Apple will be seen favicon Retina. 
Watching tutorial video here to know more.