When using the setup tool to fill in the table names of the configuration storage tables, all the tables are created with two underscores in their names EXCEPT 'pma_favorites', which is filled in with just one underscore when you click the pencil icon to auto-fill the table name.
Manually adding an underscore fixes the error indicating that favorites was disabled.
Thanks for the report. Fixed for 4.3.6:
https://github.com/phpmyadmin/phpmyadmin/commit/235d5f47f83ba64bb00ab0716c1e10c57f8655ae