Well, they're still there. Sort of.
On desktop, "Favourites" refers to both "favourite things" and the "favourites" screen (a list of all your favourite things). Simple. On mobile, you have the concept of "My Sonos", which is:
1. Flagged "favourite things", using the "Add to My Sonos" option, but renamed "My Sonos" items
2. "My Sonos" screen, a dashboard listing both all your flagged favourites/"My Sonos" items by category (except for Sonos playlists), and a bunch of other (mostly playlist) categories. All your "favourites" categories list the first 8 items as tiles, with a "See All" link to list them by name. The Sonos Playlists category contains all your Sonos playlists (not limited to first 8, because "reasons"), whether favourited or not (favourite playlists get duplicated).
3. The "My Sonos->Edit" screen also lets you do stuff. Have fun learning whether "delete" un-favourites or permanently deletes an item!
If what I've described sounds confusing and inconsistent and generally "dreadful user experience", well, that's because it is. But you'll get it. Or just fall back to browsing or using the desktop app. At least that looks to be safe from changes.