The problem exists in different browsers (this screenshot was taken from a firefox), and on different sites (or, at least on physics SE, SO and SF).
I think, somewhere in the code internally the bookmarks are used similarly as the votes, and voting is forbidden for suspended accounts. Maybe here is the problem.
The problems happen exclusively with suspended account, my normal accounts are working fine.
The screenshot is from here (but anywhere happens the same with suspended account).
Extension: It is solved. Suspended accounts it is impossible to create and even remove bookmarks. The popup contains the "Suspended users cannot vote" message.
Extension #2: Now the popup contains the "Suspended users cannot favorite questions" message.