Hi. I clicked “Favourite” for mathjp's project at http://scratch.mit.edu/projects/2464645/ but it does not appear in my favourites' list. It did save the project into my studio when I added the project. Any advice?

It's not displayed in the list on your profile page, because that list doesn't show all your favorites. Clicking on “Show more” should lead you to this page: http://scratch.mit.edu/users/SWS2013/favorites/ and there we have the project by mathjp at the top left.