Players from favored teams should be excluded when creating an MLB parlay bet because favored teams have a higher chance of scoring many runs in a game. This increases the likelihood that players who typically don't hit home runs might do so in a high-scoring game. To minimize this risk, the strategy suggests focusing on players from underdog teams who have a poor matchup against the pitcher they're facing, thereby increasing the chances that the players selected for the under home run prop bet will not hit a home run.