Does anyone know what the sticky favourite privilege is in the VIP store?

I haven't tried this but I believe it refers to the bookmarks of locations in the world map.

When you bookmark locations (as friend, enemy or special) they are saved but will be moved down a list and once you have many it is hard to find them.

Being able to sticky them I would guess means that they are kept at the top and always easy to find.

It placed an arrow next to all of your bookmarked locations. Click the arrow and it puts it to the top of the list. Very helpful in SVS when you have so many locations scouted out