The sidebar in my OS X el Capitan is missing my Faviorites, but just in file Open/Save dialogs, not in Finder.

There are published work-arounds. Some of them result in having to recreate one’s Favorites. I don’t like that.

What worked for me on September 27, 2017:

• Make a change to my Favorites on my Finder sidebar. (Add/delete/move an item.)
• Reboot

I think you have to do both. It might be enough to change Favorites and then restart Finder.