Perhaps you have "Init On Boot" turned on. That would play havoc with more than just favorites.
I haven't worked with favorites - so I do not know how it works under the hood as much as other features. Perhaps if marking library Performances as favorites - since libraries are read-only -- you can't mark these. I don't see any limitations on "Favorite" documented. Considering the documentation shows marking presets as favorite (which are also read-only) - I'm not sure there is any limitation.
One would hope that any Performances marked as "favorite" would indicate as such with the "star" for all Performances previously marked even after power cycling Montage (on/off/on) and even when viewing the "All" Bank without first selecting the "Favorite" bank. Maybe this is how it works - I have no way to test now - but the "Favorite" bank should just be a filter to only show favorites (with stars = all stars) and the "All" Bank should still, IMO, show favorites with scattered stars.