I simply assume your gpx editor skips "unknown" fields treating them like "auto remove errors" (does your gpx editor have a setting for this: auto remove non-standard fields or so?).
If you open your favourites.gpx in a standard text editor you will find the category filed
<?xml version='1.0' encoding='UTF-8' standalone='yes' ?>
<gpx version="1.1" creator="OsmAnd~" xmlns="
http://www.topografix.com/GPX/1/1" xmlns:xsi="
http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="
http://www.topografix.com/GPX/1/1 http://www.topografix.com/GPX/1/1/gpx.xsd">
<wpt lat="1.00000" lon="1.00000">
<name>Fav 1</name>
<category>England</category>
</wpt>
<wpt lat="2.00000" lon="2.00000">
<name>Fav 2</name>
<category>Germany</category>
</wpt>
<wpt lat="3.00000" lon="3.00000">
<name>Fav 3</name>
<category>Scotland</category>
</wpt>