This feature might be quite useful in situations when you have a lot of projects but you want to focus on a couple of them. In this case you probably won't want to navigate through all your folders to open these projects. You can instead add them to Favorites and be able to access them much more quickly.
Also, you can use Favorites to declutter your Daily Plan. Let's say you have 2 or 3 projects with tasks that should be handled today. Instead of adding them to today's task list, you can add their corresponding projects/contexts to Favorites. Thus, in your Daily Plan you can replace the bloodbath of tasks with one simple task like "work on the starred projects."
You can add a project, (or context/task), to favorites using several approaches: