Well it's not really fully functional or well developed but there is an "Installed" view on the mods screen.  Click "Installed" (on the left) and you see a list of mods you have selected in the past.  You can delete any from this list, so then it functions as a list of favourites.  I'm not sure how far this goes as a solution.
Maybe "Installed" is a bit obscure and a better solution should be more integrated into the "Browse" view.  Maybe a favourites filter, that is automatically added to every time you use a mod, but you can remove any from it?