Haven't lost them because they are available in Edge browser.
There are no files found in C:\Users\{Username}\AppData\Local\Packages\Microsoft.MicrosoftEdge_8wekyb3d8bbwe\AC\MicrosoftEdge\User\Default
where the favorites for Microsoft Edge should be. I have "Hidden Files" turned "on" in "View" in File Explorer.
I cannot find them using the utility program "Everything" which lists all files on the computer and offers filters for searches.
I can see all the favorites in the Star tab in the Hamburger menu in the upper right side of Edge.
I deleted all of the favorites from Edge, thinking they might be in OneDrive - although I could not find them in my OneDrive web page either.
Then I disconnected from the internet and imported all of the Internet Explorer's favorites from c:\Users\{username}\Favorites . They all went into Edge.
I then looked in C:\Users\{Username}\AppData\Local\Packages\Microsoft.MicrosoftEdge_8wekyb3d8bbwe\AC\MicrosoftEdge\User\Default and, again, no files found.
I changed a file name in my IE Favorites folder, but no change was made to Edge's Favorites. Also, that change was not put into the C:\Users\{Username}\AppData\Local\Packages\Microsoft.MicrosoftEdge_8wekyb3d8bbwe\AC\MicrosoftEdge\User\Default folder.
Reconnected to Internet and everything remained OK regarding using Edge favorites.
Still can't find the Edge favorites files in my computer. The only thing I can figure is either:
1. MS is now putting the files somewhere else in encrypted file(s) where the favorites cannot be found in a search.
or
2. There is a "Super Hidden File" setting that MS used in the update and it is a bug or they intend to leave it that way - regarding C:\Users\{Username}\AppData\Local\Packages\Microsoft.MicrosoftEdge_8wekyb3d8bbwe\AC\MicrosoftEdge\User\Default
If anyone has an answer please let me know.