Not sure if this is a bug, feature request or a Windows limitation.
If I am in a directory with many text files, select a bunch of them and drag them into an open Sublime Text window, the program will open all of the files. If I right click and choose Open in Sublime Text when Sublime Text is already open, all the files will be opened in additional tabs. Good, good!
However, if I right click, choose Open in Sublime Text and there is currently no Sublime Text window open, Sublime Text will appear, but only one of the selected files will be opened in a new tab. Maybe this is a Windows limitation because I recall I get the same behaviour when selecting multiple PSD files and opening them in Photoshop; if PS is already open, all the files are loaded, but if not, only one selected file is opened.