What version of SketchUp are you actually using? There is no 2020 version at this time.
Is the collection you are attempting to remove one that you added yourself or a shipped “default” collection? The “remove collection from favourites” only works for collections you have added yourself. To remove a shipped collection would require another approach, but I’ve never removed those personally.
If you use “add to favourites” the collection will stay in there until you remove it, that doesn’t seem to be an issue.
If you “open a local collection” that collection will stay in the menu for the duration of the current SketchUp session, you cannot “remove from favourites” as you never added them. Close and restart SketchUp and any you “opened” during the last session should disappear from the menu dropdown.