Hi,
You don’t you need to create a play list to do this … take your example:
In Roon go to the track browser and then click on the “favourite” icon.
This will filter the results so that only your favourite tracks are displayed.
Then click the “Play All” icon and Roon will start playing them.
If you wish you can also bookmark this page say as “Tracks Favourite” then you can immediately return to this using the saved bookmark.
Hope that helps.