That is the intended behaviour when you import bookmarks. The favicon isn't saved with that information because it takes up more storage space and there's a privacy concern with doing that.

You can use an add-on like Checkmarks to automate the process of loading the favicons again. Other than that, they will not load until you visit the bookmark and Firefox loads the icon.

Hope this helps.

Note that Checkmarks loads the bookmarks in tabs to make Firefox retrieve the favicon, so it only saves you from clicking each bookmark. You can keep a backup copy of favicons.sqlite to guard against losing favicons if you need to restore bookmarks.