Nope, any Infernal can have any urge AND any favored yozi. Patron yozi is fixed by caste tho. The Iconics are non-helpful on several levels, but I don't think that should detract from the joys of good infernal character building. I've had fun with a Scourge Caste with Kimbery Favored and an Ebon Dragon Urge. The scourge caste mostly provided base "stealthy character" skills, but also some really good mobility charms. Kimbery provided a vast wealth of poisons, and the ebon dragon provided the motive to use those poisons to spread fear and corruption among his enemies.
Also, Ebon Dragon and Kimbery have some crazy synergy going on. One of my favorite combinations. Heelloooo arbitrarily high hardness.