Came across this issue today. Users with only BI Consumer application role were unable to see the Favorites link on their dashboards even though the privilege had been granted to BI Consumer on the Home and Header->Favorites Menu option on the Manage Privileges page in OBIEE.
The reason? Because they also needed to have the Personal Storage (My Folders and My Dashboard) privilege granted as well under the Catalog section as well. In this case, that privilege had only been granted to BI Authors.