This is an old weirdness.
Phone.app shows a “Favorites” list. The list includes phone number references of course, but it can also hold FaceTime audio (UI for adding FaceTime audio is obscure), FaceTime video, and Message references. Favorites only show in Phone.app, not in Messages.app or FaceTime.app.
Favorites should logically be its own app or a part of Contacts.app, not a part of Phone.app.
(There’s probably a name for people who find this noteworthy.)