Actually, I didn’t try and favourite the track until step #4. What I meant in #3 was that the heart icon went from a dimmed outline heart to a solid outlined heart. I edited my post to hopefully make it more clear.
I still see this as a bug since, after the track is added to the library, the heart becomes available to click, but it doesn’t work.
Make sure you post other Playlist requests here, if you haven’t already: