I am able to do so, although as mentioned by @dkocher, this doesn't allow fully customizing the name. As a workaround, I tried to create a favorite using an alias to the volume. However, such an alias will get the default symbol (a document symbol in the alias case, folder symbol in the symlink case) rather than presenting the sidebar symbol of the volume it aliases. So the question is about setting the sidebar symbol of an alias, when the alias is pointing to a File Provider volume.