When you enable "Remove Run menu from Start Menu" group policy, HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer!NoRun , users cannot access the Favourites in Modern IE, they can access Favourites in Desktop IE. The following message is displayed.

Address Bar 

Accessing the Resource 'C:\Users\UserName\Favorites\HomePage.url' Has Been Disallowed'

This is a flaw, basically locked down devices cannot use Favorites in Modern IE.

Boot in Clean Boot Mode and see if the issue occurs.

http://support.microsoft.com/kb/929135

Hi Arthur,

Thanks for the reply, I have a support call open and will update this thread with resolution.