You say "I have preferences set up to not automatically send to cloud, etc., but they show up on my phone and iPad anyway." That is because you have "My Photo Stream" enabled. You can only turn "My Photo Stream" off and on as a unit; there is no way to restrict it to Favorites.
One workaround that some people use is to have two Photos libraries on their Mac: one with all photos that is not the System Photo Library, one with a subset of photos that is the System Photo Library (and hence connectable to iCloud Photos and My Photo Stream and easily accessible in other applications). It requires more effort to maintain dual libraries than picking favorites, but some users find it worth the extra effort. Some do it to offload the main/archival library to an external drive and carry only the subset library when away from home.