yes, I have this issue too... and using the 'back' button to choose 'Favorites' only serves for that ONE channel you select, then using the UP or DOWN button just puts you right back into the 'ALL Channels' listing...
I have resorted to simply REMOVING all Channels that I probably won't ever want to 'pass thru' while surfing, but it begs the question of WHY have a Favorites LIST, in the first place, if you can't simply PERUSE thru that list with the UP and DOWN buttons - I certainly thought that was the reasoning... oh well. On to a different TV App provider. Sad.
also, the actual Roku REMOTE, at least the one with my ONN TV, seems to have fewer buttons/options than required: but has dedicated buttons to go directly to streaming providers, even if you never use them....