When you browse the web, Speedy asks every website you visit the favicon to be displayed in the Sites menu. This is the standard behavior of Speedy and cannot be turned off. You can stop Little Snitch’s warnings by giving to Speedy the permission to connect to any URL as you usually do for web browsers or, alternatively, you can activate ‘Private Browsing’ option on the Speedy’s Sites menu (this option will stop the update of the recent sites list).