It's a bit weird, maybe, but you can do that via personalization:
- Leave Import/Export empty
- Create a Predefined Setting (of type Fully Enforced Settings) with the favorite you want to provide
- In Profile Cleanup, add
I ended up doing it with [ExcludeFolderTrees] in Internet Explorer in Personalization
I created a User Environment > Files and Folders
I excluded <Favorites>/Folder
I created that the shortcut in that folder. Anything that gets stored in that folder obviously will not be imported/exported.