PKHEX seems to completely disregard the favourite flag on items. I favourite quite a lot of useful items, and I've noticed the favourite Stars missing from time to time. And only today, I realised this might be related with the items edits I made to test Cram-O-Matic.
I decided to test this; made a backup save with favourited items, then loaded into PKHEX 20200622, edited one of those item to have 666 copies, and once I saved, the favourite flags were gone. Just to see if general saving affects that, I loaded the save with favourites, changed one of my Pokemon's level to 69, saved it, and the favourites were untouched.
main - with favourites
main - without favourites