That's because those items use their own inventory systems. Horses, Bugs, Loot, etc. they all use their own inventory to display their own items. You don't get a new item every time you get a new classic horse, or a bug, or new loot--It simply adds it to the inventory of those individual items. There's no way to say, display a favorited horse or bug in the favorites folder since they display their own inventories differently.