I can't delete the Finder favourites, however I can add them.
No luck in editing com.apple.sidebarlists and com.apple.finder since the favourites aren't stored there (anymore?).
My first guess would be a permission issue, however I have no idea where that would be.
Best Answer
I solved the problem by setting FXSidebarUpgradedToTenTen to No (in com.apple.finder.plist) and then installing the security update, although I don't think that the security update had any impact here. I then rebooted my mac and it went trough the usual update process, which fixed my sidebar problem.