This plugin uses glyphs from a patched NERDfont. So in order for this plugin to work you need to install a NERDfont and set it as the default font for your terminal.
This plugin is inspired by Alexander Jeurissen's ranger_devicons which can be found here: https://github.com/alexanderjeurissen/ranger_devicons
The vifm equivalent can be found here: https://github.com/cirala/vifm_devicons
There are two ways to install this, the choice is entirely yours but I recommend the latter because when updates are released you simply need to update a git repo instead of messing with the actual vifmrc file.
Append the following line to your ~/.config/lf/lfrc file:
source /path/to/your/repos/lf_devicons/favicons
Restart lf to take affect.