Thank you for your suggestion! What you were asking for is already offered in ArcGIS Pro. In your screenshot above, if you click the project .aprx file link, a File Explorer window will open at the location of the project file. This is documented here: https://pro.arcgis.com/en/pro-app/latest/help/projects/open-a-project.htm.
You can also do this in backstage, Info tab:
Another way to do it is to right click the project of interest in the Recent Projects list, and then click Show In File Explorer in the context menu:
Thanks again for your feedback.
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