OK. It took me a while to figure out this Favorites stuff, but it now works.
Assuming you've done that initial antenna scan (or re-scan), you probably have anywhere from 50 channels (if antenna only) to several hundred channels (if you enable the Roku streaming option). You want to pare down that list to your favorite 5 or 10 channels, and only watch those, without having to scroll through all of them.
To do this, you'll need to favorite a few of them:
Launch the antenna option -- some live TV program should be active.
Press the Options (*) key, and choose "Manage Channels", then "Favorite Channels".
Select the channels you want to keep, and press the menu key to exit.
Once you have your favorites added, you need to change the system to only display your favorite channels
Start with an ordinary live TV program should be active.
Press the Left arrow. The "Guide" should be displayed.
Press "Left" a few times again, until the channel number is displayed.
Then press the Options (*) key.
Then choose "Filter" from the options.
Select "Favorites" from the list, press "OK".
Then press "OK" a couple more times to get back to live TV.
You should be able to scroll only through Favorites now.
It took me a little while to figure this out. Hopefully it will save others this aggravation.