Note that the dropdown list "Networks:" is not to select a server-group. It
lists all groups this favorite was set to. To set/add the favorite for a group, use the "Add"/"Delete" buttons below "Networks:".
If you're not sure whether or not some server address is assigned to some group as yet, you can add/update your server addresses with commands. Example:
/server -a irc.example.com -g Examplegroup
"irc.example.com" being the server address or server IP
"Examplegroup" being the group name