Try opening the folder you want to add to favorites first and then press Ctrl+d or navigate to Bookmarks->Add Bookmark . This creates a bookmark which can then be found in the Bookmarks section on Caja’s sidebar, or in the Places menu. Note that the default folders in Home (i.e. Documents, Downloads, etc) are already shown on Caja’s sidebar. Bookmarking makes them appear in Places menu too. I don’t think that this is the intended way for bookmarks to work, but that’s how it works, at least for now.
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