Favorite to fade in and fade out?

I tried this, and it works fine. The problem with your version is that the 'final selection' line has a minus figure in it, and it shouldn't have. Re-record the favourite, and before stopping it, make sure that the cursor is positioned somewhere within the file. It doesn't actually matter what number is in that last line as long as it isn't a minus value.

The actual steps I used were to select and edit the first time selection (start of file), apply the fade in effect, select and edit the end of the file, apply the fade out effect, then position the cursor somewhere within the file. Then stop recording, and save it.

Assuming you're referring to the built-in Audition Favorites, "Fade In" and "Fade Out", I believe you have to mark/highlght the section of the file to which you wish to apply the desired Favorite.  I don't know of any method by which you can "expect" the Favorite to automatically apply to a pre-determined time selection, which is what you seem to want to do.