Do you mean that there are still recordings saved on your hard drive that you want to remove from the favorites list? If so you can go to one of the episodes and remove it from the favorites list there.
I agree with this request and would like to add to it.
It would also be nice to have a checkbox that says: hide shows already in another category, or a checkbox that says only show items not assigned to a category.
This would make my daily routine of assigning new shows to their category a a lot faster.