Hi Nur Izzan Bin Ahmad,
From my assumption, you can delete the favorite Entity and then create Another association from User to Location and name it as Favourite_Location_User.
On the user page, you can keep a favorite button in the location list, and in your microflow, retrieve the current user and set the location. This Will work if the user has only one favorite Location.
if You want multiple favorite locations, you can change the association from 1-* to *-* and in the change object activity, you need to select add option instead of the set option.
Hope this gives you an idea to get started.