The subject behavior will occur when you close the Group Policy Object Editor.
To workaround this behavior, add at least one URL to the folder prior to adding the folder to the GPO:
01. Open the Active Directory Users and Computers snap-in.
02. Right-click the organizational unit (OU) where you created the GPO and press Properties.
03. Select the Group Policy tab.
04. Select the GPO that you wish to edit and press Edit.
05. In the Group Policy Object Editor, navigate through
User Configuration / Windows Settings / Internet Explorer Maintenance / URLs.
06. Press Favorites and Links in the right-hand pane.
07. Press Favorites and press Add Folder.
08. Type a name for the folder into the Name box and press OK.
09. Under Favorites, select the folder you created in step 08 and press Add URL.
10. Type a name for the URL into the Name box.
11. In the URL box, type a URL.
12. Press OK and OK.