Alas, it is currently not possible to show a system-wide list of favorites in EmulationStation.
What is possible though, is to install a new and somewhat experimental version of ES which will allow you to set favorites per system. It is part of the Kid/kiosk EmulationStation version, which you can install from the experimental section of the RetroPie script. This will allow you to show only the favorites, but only for a single system (not sure how well it works with the new combined Arcade folder).
For more info see here: http://blog.petrockblock.com/forums/topic/kid-friendly-retropiees-ui-modes-favorites-hiding-items-s-testers-wanted/