This is an Apple 'bug' that Apple has to date not admitted too. MANY Mac users in general have reported this, and it is unlikely they are all using TF. Here is just one link, there are many other discussions about this problem on MacWorld and Stackexchange. Some of the links may be helpful they suggest 'solutions' but apparently none are permanent.
Personally, I've been using TF for many years, and fortunately, I've never seen the Favorites section disappear on Open/Save windows.
BTW, if you want to know the other links I was referring to, I did a search on Google for this 'mac favorites in save window missing'. You will see the people reporting this is wide spread, all using El Cap.
Good luck, hope you find a solution.