I just would like to remind you about a feature that currently exists only in XAF Web UI, but which is for some reason is rarely used by customers (at least from what I see in the Support Center while helping other customers). Please refer to the attached screenshot:
Does it look familiar to you?
If not, then please refer to the XAF documentation to learn more about the IModelNavigationItem.QuickAccessItem property. You can set it via the Model Editor for a required navigation item while configuring the navigation system under the NavigationItems node.
Technically, these items are rendered by the QuickAccessNavigationActionContainer class placed within the default web page template.

Hope, I will see this small feature more often in your apps from now. As for the Win UI, you may be interested in tracking the Navigation - Allow end-users to mark certain navigation items as favorite  ticket, which is a more general request.