Hmm, there should be no error but you should be redirected to the login page. Do you have any more informatione? There is a plugin which is cookie based in the download area, I think that should work for your purpose if you want to offer favorites to non-registered users. We use it for our shopping cart and it is a service only for registered users...but it seems not to be much work to add the stored in a cookie feature.

Regards

Niko