[itsme]

"Ballad" or "Pop" are clearly genres, an additional collection as proposed by Geoff is not required.
If you put the value "Favourite" into a group other than "Genres" you can achieve what you want.
I would make  "Favourite"  a value of "Source" but you an use any group you like, most convenient are those with a specific selection box in the filter bar, "Collection" is also fine.
Now you can select "Pop" or "Ballad" on the "Genres" tab and filter for "Favourite" - done!
Or the other way round: select "Favourit" on the "Collections" or "Source Types" tab (depending on the group you have chosen) and filter for genre "Pop" or "Ballad"