Both Bing Maps web version and Windows 10 Maps app seem to have a limit of favorites (I call this a bug).
I advise you to NOT use this tool if you have more than 1000 favorites. Otherwise you could end with a broken app without any way to fix it except waiting for Microsoft to fix this bug (we can wait a very long time I guess).
If you import too many favorites to Bing Maps servers, the app won't be able to handle that and won't be able to display any favorites anymore.
So if you have more than 1000 favorites you really should delete some before.