Deleting from favorites list

Safari > Bookmarks > Edit Bookmarks

Select the Favorite. Right click it and the "Delete".

Favorites

• Remove a favorite website: Drag the favorite website away from the Favorites page or Favorites bar, then let it go when you see the Remove icon . You can also Control-click the Favorite, then choose Delete from the shortcut menu.

For details:

See your favorite websites in Safari on Mac - Apple Support

Bookmarks

Safari > Bookmarks > Edit Bookmarks

Open the folder, select the bookmark and press delete key.

Use the search box at the top right corner to search for the bookmark.

For details: Bookmark webpages that you want to revisit in Safari on Mac - Apple Support

If I understand what you mean by Favorites, open the Bookmarks Sidebar, go to the Favorites folder, and delete the items from there.

If you open the Sidebar, then the Favorites folder, select a Favorite, and then control - click on it, do you get a Delete option?

Click "Bookmarks" in the Safari menubar.

Choose "Edit Bookmarks" from the dropdown.

Click the arrow button beside "Favorites" to open the Favorites folder.