HI, Just tested it In Firefox and it worked just fine for me, so perhaps its a browser version specific issue.
Just to be sure though, and in no way trying to be disrespectful let me list my steps to make sure your's were the same.
1. Clicked "my favorites" to view the proper window from the "my marketplace" panel in the upper left of the browser window.
2. Placed a check mark by clicking in the each desired items title bar check box.
3. Clicked the "Remove Marked" button.
Then clicking again the myfavorites link in the my marketplace panel. It had refreshed properly and the items had been removed.
Tested it also in IE where it displayed the behavior your experiencing. Not sure what effect it might have on a newer version of IE though since mine is rather old. I think 7.
But again, cleaned it up just fine in Firefox.