To be honest, I never knew that the favourite button did anything other than mark the card in your collection so you could spot it easier when scanning thru the cards.
I suppose the only way it would help at present is to make a playlist out of the cards you mark as favourites.
I agree tho, it would make it quicker and easier if the filter was added so that only the favourites showed up in the GUI and then you could select them all in 2 quick clicks.
Good idea :)