There isn't a way using Group Policy. I have configured a Logon Script in Group Policy to do the job.
Create a VBS script and place this code in it. You may change the "Z:\Favorites" to what you like.
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Option Explicit
Dim RegLocate, objShell
Set objShell = WScript.CreateObject("WScript.Shell")
RegLocate = "HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\Shell Folders\Favorites"
objShell.RegWrite RegLocate,"Z:\Favorites","REG_SZ"
RegLocate = "HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders\Favorites"
objShell.RegWrite RegLocate,"Z:\Favorites","REG_SZ"