Strange, now it's there. Maybe restarting Steam helped somehow (but I tried that yesterday and that didn't helped).
Closing this as not-reproducible. Should the issue pop up again, drop a message here and we can reopen it.
It is reproducible. Just add non-steam game, mark it as favorite and look at tray menu, it won't be there.
The tray icon's list is a most-recently-used list and isn't directly connected to favorites. If you play the game does it show up at the top of the list?
Closing as this should be by-design.
If the list shows only last played games, it might be correct. At least it seems to be correct right now.
Nothing extracted yet.
I've added a non-steam game to library, added it to favorites, but it doesn't show between other favorites in tray icon context menu. As far as I remember, this was previously working.
System information