I have created 4 folders named test1, test2, test3, test4.
As previously said, the "default" folder when I bookmark a site is the last I have used.
For example if I use test3, the next time, test3 is the default folder.
EDIT 1 : okay, I have the "bug" know : when I use "favourites", the next time the default folder is the first folder in the list.
So, it looks like "favourites" is an exception, as it refuses to stay as default folder.
No idea why...
Another nice workaround is to use the "+" icon that shows up in the left of the address bar, favourites is the second item after the reading list.
Can be done with one finger only : click the +, move the finger downwards to "favourites", release.
Done.
EDIT 2 : just found an actual "fix".
In Safari / Preferences, change "New windows open with" and "New tabs open with" from "Favourites" to : Top Sites.
Now "favourites" sticks as default folder when I use it to bookmark a site.
I was tweaking Safari preferences to solve this problem, that is why I did not have the "bug" first, then I had it after some changes, and finally fixed it by reverting to the previous settings.
Note : this behavior also exists with El Capitan, not only Sierra.