Not sure what your trying to say. You click my favorites takes you to the page you note. It shows all your favorite photos and you can select which photo to view.
Say i have 2 favorites. I klick on Profile -> Favorites. Now i see the 2 favorites. If i click on one of the photos i am taken to a page that seems to be a list of all favorites by all users.
Okay so your not going to the favorites through the menubar but your profile.
So what appears to be the issue then. In that scenerio that would be correct. Thats a mini preview. That operates how it is suppose to, Now hit my favorites through the menubar. There appears to be no bug here just a misunderstanding how things are suppose to work.