I'm using Sublime Text 3, build 3126 on Linux. I have both an 'Open File' and 'Open Folder' choice in my drop down menu. I'm guessing you are using a Mac, judging by the propeller short cut hint in your screen shot.
Maybe a mac user can help you out, sorry.
BTW - I still think 'Open Apple' and 'Closed Apple' when I see the propeller keys on a Mac. If you don't know what I am referring to, do a google image search for 'open apple closed apple keyboard' and you'll see some vintage Mac and Apple II keyboards with the key that became the propeller. I switched to Linux before Apple killed the Apple II line, so I'm a little rusty with Macs.