Holy statistics, Batman! It appears you are correct about play count. I experimented yesterday by playing about 10 songs from my Collection on the Focus, and downloading a song from the marketplace. This morning, I plugged in the phone to sync (wirelessly) with my desktop: the downloaded song synced to the desktop Collection, but the play count did not change.
I am surprised because I do most of my listening on my Zune HDs, and although I haven't monitored the play count, I have watched it grow and don't believe that the 33K+ count on my computer -the only place I've ever noticed a count- has climbed only through playing there. But, again, I have not monitored this, and I do have a serious ZunePass habit: it is entirely possible. I'm curious about this and will be doing some more experimenting, including with my Zune HDs; I'll report back if I see anything different or meaningful.
I've never even explored the favorite feature, so I cannot help there.
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Evening edit: I plugged in my phone this evening, and I see that the play count has now advanced by 11 which would be the 10 played from my collection last night plus the marketplace play of the track I downloaded. So, my revised response is that your count should reflect a sum of your plays across devices.