What is your operating system?
Windows 11
What is your Shotcut version (see Help > About Shotcut)?
23.09.20
I have copied a filter (Text: Simple, with pre-defined style) and named it, so it is listed at the “Sets”. There I can mark it as a favourite (by clicking the star). This works and so it appears in the “Favourite” pane. But only until the program restarts, then it is gone again.