@futta your best bet here is to strip the protocol from the URLs you're embedding in the concatenated CSS file. A protocol-free URL will use the protocol of the page it's on. e.g. from this:
http://example.com/wp-content/themes/example/favicon.ico
to this:
//example.com/wp-content/themes/example/favicon.ico
Then you don't have to worry about the why :)
[why is another problem, might be because the site is behind a reverse proxy]
cheers,
Ross