I'm afraid not. Each help file maintains an independent list
of favorite topics, which aren't combined together in a merged help
collection. This isn't necessarily a problem, however. If your
users are likely only to open the master help file, they can still
add to its favorites list topics that are in the slave help files.
What they can't do is open the slave files directly, add topics to
the favorites lists for those files, and then expect those topics
to show up in the master's favorites list.