Probably not helpful, but at least sympathetic, Tidal is pretty garbage this way from past experience so it would not surprise me if that is indeed the case. Gave up on trying to figure a way to do that some time ago. Roon is the answer if you are OK with it.
Outside of playlists there isnt much in the way of personal organization within favourites.
Its possible that there is a way to do this or an update has occurred that allows it but, as I said, I gave up long ago.