I'm finding the same thing for IE6. It makes use of the favicon in the location bar, and not just in bookmarks -- but I need to use the <link> on every page for it to show up.
I'm not seeing this tedster. I did a comparison test checking WebmasterWorld, Opera.com and the Netscape DevEdge site. Opera and Mozilla are showing favicon.ico in the location bars and the tabs. IE6 seems indifferent to these sites that have the <link>. I'm seeing the same old default icon in the IE location bar.