It looks like this issue might’ve been around for at least three years now, since someone posted this back in 2022:
But the issue is still present. Every deck I have where I’ve selected a non-favorite hero skin for it, and I don’t have “Prefer Favorite Heroes” checked, only retains the hero for a single play session.
After logging out and then back into the game, the heroes for all those decks are reset to the favorite hero for that class.
If this has really been around this long, it really needs fixing.
Edit: To clarify, I intentionally drag the non-favorite hero into the hero slot for that deck, and it stays there for the duration of any given Hearthstone session, whether I use that deck in matches or not.
But after shutting down the game and then launching it again, I check any of the decks in question, and the hero slot is empty, as if it were never populated.