I have the same issue. I wrote a little script using Python 2.7.13 and python-twitter 3.1 (and 3.3). The script worked fine for more recent favourites today. But it seems that Twitter distinguishes between “newer” and “older” favourites. I am not what the cut-off date is, but all more recent favs could be deleted, so that I only have favs from 2013 and older left. I can see the favs in the Twitter UI, but I cannot query it via API. I always get an empty list.
I have the problems with both scripts, this very basic one
(deleting 200 favs) and also this more complex one (supposed to delete all favs in your account).