Hi klamdroid, and welcome to the AC forums.
Unfortunately I don't have an Incredible (which runs Sense UI), so the following may be slightly different on your phone, but the result can certainly be achieved.
A favourite sets a contact as a favourite, not a number. So if you select a contact, whether it's a favourite or not, it will open all the details and options for that contact. If you're selecting it from another app (say the Messaging app) then it may only display phone numbers (as opposed to stuff you can't send an SMS too like a postal addresses).
If you find yourself wanting to specifically do a given task with a given contact, I suggest you make a folder on one of your home screens (call it "Favourites" if you want). You can then make shortcuts to specific tasks by long pressing on a blank space on the home screen (or can you hit the + button on Sense?) to bring up the "Add to Home screen" menu where you can add Shortcuts, Widgets, etc., and selecting Shortcuts. From the Shortcuts menu you can add Direct Dial (i.e. call), and Direct Message (i.e. text) shortcuts. One you make a shortcut, you can long press it and drag it into your folder you made previously.