I haven't set this up yet as I'm still in the early stages of putting the site together but I was wandering If you have login users clicking favourites, are their selections saved when they log out so they can come back and view them later.
Depends on the Coppermine version. That's why there are different support boards for different coppermine versions. General answer is "favorites are stored in the database, not on the client" (for actual stable coppermine release).
No support is given (i.e. questions answered related to Coppermine) on a board that is explicitely named "no support".