Sync Apple Maps Favorites across personal devices

Do I really have to exchange Maps links between devices to get it on the intended device?

No, you do not have to exchange Maps links for Favorites to and fro between your Mac and iOS devices. If you are logged in with same iCloud ID on both of your devices and have iCloud sync enabled, favorite created on one device automatically syncs on the other.

To verify if the settings are configured correctly, on your Mac, go to System Preferences → iCloud → iCloud Drive (Options...) and verify that Maps is checked:

On your iPhone, go to Settings app → Your Name → iCloud and check that Maps is enabled under Apps Using iCloud section:

If the above two verifies, you are all set. Mark a location as favorite in Maps macOS app by searching for it, clicking on the pin, clicking on the ⓘ button and clicking on the heart icon. The heart icon changes to solid fill when the location gets added to favorite.

Now, open Maps app on your iPhone, drag to pull the search view up from the bottom of the screen. You'll see a Favorites entry. Tapping on it will show you the recently added favorite. Tapping on the item name will locate it on the Map view.

Now do the reverse. Search for a location in Maps app on your iPhone, pull up the info sheet for the location and tap on the heart button to add it to Favorites. The heart icon changes to red color to indicate successful add.

Now open Maps macOS app, click within the search bar shown along the top and click on Favorites button to reveal the list of favorites. You'll find the newly added favorite item from your iPhone listed.

Make sure both your devices have an active Internet connection for the sync to happen.