It is. It allows you to quickly select a preset set of weapons/spells, without having to look through your inventory or spell list and swapping them out.
P.S. Don't confuse the quickmenu with hotkeys.
Quickmenu is what "hotkeys" are called in the console version. So it would stand when they said the favorites menu would be the quickmenu, then that would be the same as was in Oblivion console version. That's just what has been pieced together from what has been said and it could be just a mistake in the info or something else. But if they are using the same terminology as they were for the console version of Oblivion, the quickmenu would be the hotkeys.
That's not something that I remember about Oblivion. Quick menu? How was it accessed?
It's accessed by the Dpad on the 360 controller and it is also the numbered hotkeys in the PC version. I still refer to it as a quickmenu. If I'm right and it is the same quick menu (hotkeys), then it's going to be annoying when the game pauses.