Hi John, you should be able to just drag the items in the Favourites list into the new folder.

There's a little red 'X' n the shadow when I drag it. It won't move to the new folder.

It sounds like the SEI General Role assigned to your SEI user does not have the permission to 'Organize Command Center Views' enabled:

But, be aware that changing that setting will allow users assigned to that General Role the ability to move worksheets, graphs, etc. within the main Data Models and Views menu.