When you click the album link for the tracks in the playlist, I’m guessing you end up on a TIDAL album page (meaning you see an Add To Library button), as opposed to an album in your library (which would have the Favorite heart at the top).
Because the playlist refers to albums on TIDAL (meaning, albums you haven’t yet added to your library), you won’t be able to favorite the tracks in the playlist (since “favorites” are explicitly about the music you love most in your library).
I understand this is a counter-intuitive distinction, and oneI’d like to improve on in the future, but it’s much more complicated than it seems. I explained some of the background here – give it a read and let me know if it’s unclear:
https://community.roonlabs.com/t/why-cant-i-favorite-tidal-tracks-in-a-playlist/21240/2?u=mike