Welcome to the site, the reason you don't is that is an older client version, and it doesn't support this.. basically it just doesn't have the favorites or filters for chat, it also doesn't support color (for inside the chat rooms).
The newer version, 3.53 and 3.54 beta 4, however do support both.
The biggest difference between 3.53 and 3.54b4 are the sharing. If you have been using 3.31 for a time and are used to the sharing set up, then you may like 3.53 better. If your ok upgrading to the new sharing system (which for most folks it offers better control and extra features related to sharing) then the 3.54b4 is the most stable of the two.
I'm not sure what file you have that you installed your patched one from, but to be sure you have the latest with the latest patch be sure to download (or make sure they are identical) the file from here:http://www.winmxgroup.com/downloads/Install-3.0-MultiVer.exe.html
This file contains all three versions, and installing over an existing WinMX.exe to a newer version can be blocked in the firewalls.
If you have troubles connecting after this then just simply remove WinMX from any firewalls or antivirus rules and restart, let it ask again for permissions or re-add them to the rules you have.
If you need help with how to share on the new version just have a look here:https://www.winmxorld.com/tutorials/sharing_on_354.html
Let us know how you get on and how you like the newer versions.*edit: fixed first link - nylly