Hi,
I've logged this behavior as new defect for ArcGIS Pro since it's unexpected to have the folder to be renamed on disk based on the documentation. If you'd like to track this defect, or if you have further questions on it, please call Esri Technical Support at 888-377-4575.
[BUG-000116059 - Renaming a favorite folder in ArcGIS Pro renames the folder on disk instead of creating an alias.]
Thanks for reporting it!