I'd like to add a link to BuddyPress' My Favourite Topics in a Custom Menu. Is there a way to use the current logged in user's username in the link?
I mean like the
%category% in the permalinks.
Yes there is a way how you can do it. To implement it properly I would recommend you to read The Rewrite API: The Basics article. Especially pay attention on Add Rewrite Tag section.