Address bar in IE9 displays history and favorites results while you are typing by default. IE9 uses Windows Search to improve the results and also to shorten time necessary to get them. So the reason why favorites might not be displayed is because Favorites folder is not indexed. There are two solutions to fix this situation:
Disable use of Windows Search for these results. Go to Tools > Internet Options > Content tab > AutoComplete Settings button and unclick Use Windows Search for better results.
The second and better solution is to add Favorites to the Windows Search index locations. Go to Start and type Indexing Options, click on the Modify button and select Favorites folder under your Windows profile folder.