Clicking "remove from this tag" doesn't remove the brush from the My Favorites tag. You can add to it but you can't remove the preloaded brushes from the tag. If you add a new brush to the tag and then go to remove it you can, though.
*** Bug 395451 has been marked as a duplicate of this bug. ***
*** Bug 418372 has been marked as a duplicate of this bug. ***
*** Bug 392208 has been marked as a duplicate of this bug. ***
This works in master (tested with 29731022daa73f8b4b5fc7aa21929be202c7668f)
*** Bug 433411 has been marked as a duplicate of this bug. ***