If you select a Folder Favorite when Explorer is the active (or clicked) window, the folder is "changed" inside this window (I use the word "navigate" in the doc).
If any other window is active, the folder is open in a new Explorer window.
If you want to open a folder in a new Explorer window in any case, use the Alternative menu (Shift + Middle Mouse Button) and select "Open in a new window", then select the favorite in the Main menu. For more info on the Alternative menu:
https://www.quickaccesspopup.com/tag/alternative-menu/
PS: I edited your post. I guess your PS was related to your other post.