To see contacts from your favorite label, just click it. The selected label is coloured (1). You can select multiple labels at once. If you click the selected label a second time, you will deselect it.
Use the Cancel Filter button (2) to display all contacts again.
To add a label to your Favorites, open label editing (Labels) and click on the heart (3) next to the label. Once the heart icon is colored, it means that the label is in Favorites.
You can include a label in Favorites despite the contact detail, if you click on the label icon (4) > it will be colored > indicates that it is in favorites. If you click the icon again, the label will be “uncolored” (5) to remove it from your favorites.