How do I add items to 'Favorites' via GPO?

This turned out to be straightforward enough. The 'Favorites' are in %userprofile%\Links (and not in %userprofile%Favorites as you might think).

Knowing that, shortcuts can then be defined under Preferences\Window Settings\Shortcuts:

This document is a bit old but it gives two general ideas:

1. There isn't a GPO that allows the list to be customized by default.
2. You can use logon scripts to "install" different locations to the user's account.

So you are basically forced to utilize a logon script to accomplish this. It shouldn't be too hard but you will need to find the relevant instructions for the OSes you have in your environment.