There is no actual folder. Apple now calls it a "Collection".
It should be in the "Pinned Collections" section if it has been enabled.
If you don't see it there, make sure you have at least one photo marked as favorite by tapping on the heart icon at the bottom of the screen when viewing a photo.
Then from the main Library view, scroll down to "Pinned Collections" and one of the collections should be Favorites. If you can't see it, tap on "Modify" and make sure it's been added to the list of visible collections there.
click here ➜ Customize the Photos app on iPhone - Apple Support