When I'm reviewing questions (particularly in the First Posts queue), I sometimes want to get notifications on the question later on, and it requires me to open the question in a new tab, bookmark it, close the tab and continue reviewing.

Can a bookmark button be added so that I can bookmark questions directly from the review queue?
As stated in the comment by Joshua Taylor:
I'd argue that if users are using filters in the review queue properly, then they're in a position where they're more likely (e.g., than the front page) to see questions that they'd like to mark as favorites, they're in a position where they are already demonstrating that they're willing to spend time to improve questions (and thereby the site as a whole), and since they'll be more effective at reviewing if their review "flow" isn't interrupted by having to open the question in a new tab, it would be beneficial to let them mark a favorite from within the queue.
In addition to this argument, since the splitting of the first-posts into Qs and As, reviewing first answers often leads to an interesting question worthy of bookmarking.