SVG is refused by most social networks, marketplaces and document editors. ICO holds several sizes in one file, which is what favicons and Windows shortcuts need. SVG is at home in logos, icons and illustrations that must scale; ICO is the usual choice for website favicons and Windows app icons.
ICO holds a single still image, so an animated SVG does not stay animated. The defaults suit most files. Under Options you can pick which icon sizes go into the file and set the scale the vector is rendered at.
The SVG is drawn at its own width and height (taken from its viewBox if it has no size) times the scale set under Options, scaled down if that would pass 16,384 pixels a side or 64 megapixels. Scripts inside the SVG never run and files it links to are not fetched, so text in a font the SVG does not embed is drawn in a fallback font.