Yes. First you must make sure that the 'Client Photo Downloads' setting is on. To do so, select the desired event > Settings > Proofing Settings > Client Photo Downloads.
In the Proofing Gallery, to download favorite photos, clients must follow these steps:
From the Proofing Gallery on the web, Favorite photos > Download Favorites (button). An email will then be sent to the client with a link to download the photos.