I think it actually serves you better to mark the question as a favorite when you post a bounty on it. Remember that the activity envelope effects from favorites are the secondary feature - the original benefit was quick access to the question.
In the old system, you could always find your bounty questions because it's just in your questions asked (and since it lasts no more than 7 days and is a bounty, it should be within the first 2 pages of "Recent" sort). In the new system, I don't know how people plan to track their bounty questions. Maybe on Meta you can just find it on the Featured tab, but in the main sites it's definitely going to get lost in the mess of bounty questions.
This is useful because even if bounty questions reported activity in the same vein that favorited questions did, you won't get strict alerts when comments are posted on answers. And those are what you, as the bounty assigner, are probably going to be paying 50% of your attention to (the other 50% being the answers and their edits resultant from those comments). Since you won't get reports on all of that kind of activity, you need to have quick access to the question. And rather than split off some additional section of your profile for something that can only ever have a single item (because you can only assign 1 bounty at a time), it fits very nicely on your favorites.
A sidenote. The methods used for tracking activity from favorites has some implications if it is directly adopted for bounties. Namely, activating/deactivating the star will add or remove ALL history of activity to your envelope's records. So if implemented identically, then once the bounty ends, all of your former records would be removed entirely. Likewise you'd have all the answers and changes from before you assigned the bounty, but that has a much less significant effect. Perhaps this is your desired behavior, though, but I figured it'd be a good thing to point out.