You might have swapped the keys? I changed F to M3 and it still said "Favorite F" on mine. Seems the buttons don't update correctly. Try remapping, keeping Favorites Q and Favorite F
I had this same issue when I first started the game, and as mysteriously as it did not function, it apparently resolved itself and now I can use the F and Q keys for the favorite system.
I also had an issue in the beginning of using the Take All key (can't remember what key it is), but it refused to empty out the container that I was looking into, regardless if it was a body or a barrel. Then once again, mysteriously, all of a sudden the Take All key starts to work perfectly.
*shrug* - heh, go figure.
Oh wait, I remember a friend that also got the game telling me that he had some issues but once he unchecked the 360 controller option (in the options or settings panel) he didn't have any issues with the UI.
So, I forgot... I did go into the options and uncheck the 360 controller option. Although from memory I thought he said that only effects using the mouse to scroll the menus, but maybe it effects more than that, don't really know. Don't know why it's checked by default on the PC version of the game anyway, poor planning I suppose on the devs part.