My maternal grandmother was the youngest but one of a Victorian family of ten; her oldest brothers were about twenty years older than her. It doesn't seem at all morally inappropriate that she should have cared about her nearest siblings much more than those hardly-known distant figures who left home when she was a toddler. And she manifested her favouritism in all kinds of ways: surely nothing morally amiss with that! And no doubt the older children who were still at home had their various favourites among the little ones too -- surely nothing amiss with that either so long as no one got too left out.

So I can't see that there is anything wrong per se about having favourite siblings and manifesting that favouritism. Where things get more problematic is when numbers get small: it could indeed, as Sean says, then be wrong to manifest preferences too much. But suppose that (because of a family tragedy) you and cousins were brought up together from young: then surely the same would apply. So perhaps it isn't siblinghood that really matters so much as belonging to a small family.