What year is your CX-5, there's different Infotainment models. I'm only familiar with 16 & 19 which
have the older Infotainment system compared to 22 and up.
On the 16 & 19 if a NAV favorite is saved in NAV it stays in NAV. You don't see it on the AM/FM/Sirius fav list.
IF you can't find a way to make groups you could re-arrange them so they're in respective order. Like all AM's favs first, then FM favs, then NAV.