Well not sure if you are aware of it, but ST has a quick switch project (usually ctrl+alt+p) that will show you your recently opened projects.
Of course it has its own drawbacks:
- Unable to remove one instance from it without removing all (clear recent projects cache)
- Can't open the project in a new window.. instead it only replaces the current project
But AFAIK this would be the most optimal way to work with multiple projects. you just need to go to the folder of the desired project and open it once and it will be available as recent project in the future..
The point of having to choose where to save the project file, IMO is because you may want to share the same file with other people or just have them wherever you want... maybe having all in one place is good for you (it is for me as well) but other people might like to have it in separate folders.
I usually work with the project replace window.. or just go in "Project -> Open recent -> ..." which opens a new ST window for me!
Hope this helps you