So I've figured this out, on Mini V3 and Analog Lab 4 on Windows 10 at least. It'll be a similar setup for Pigments however as all these products share the same preset file structure.
Say you have an example preset, called Boucin (on Mini V3)
You'll find the preset itself in this folder; C:\ProgramData\Arturia\Presets\Mini V3\Factory\House Chords
You'll find an additional information file in this folder; C:\ProgramData\Arturia\Presets\FactoryEdit\Mini V3\Factory\House Chords
The file Boucin.info contains the following text; 22 serialization::archive 10 0 7 1
The 1 at the end of this example line is an indication of whether it's a favourite or not. 1 for favourite, 0 for not. You can see this changing in real-time whenever you use Mini V3 or Analog Lab 4 to change the favourite status.
For completeness, this information is also held in the db.db3 file, specifically in the Favorite field of the Preset_Id table. My guess is this database is used as a high-speed cache of information for the Arturia software to use at startup which makes loading faster than it would otherwise be by having to scan the file system each time. Without access to their code however, this is just intuition on my part.
Hope that helps.