In ArcGIS Pro 2.0 the save dialog boxes and similar (and in some cases the folder trees in a catalog pane) don't support the right-click > new > whatever function.
For example, in Pro I would like to save a layer file. If it is the first layer file for this project I may not have a "layers" folder yet. So I right-click the feature in the TOC and save as layer file. The save dialog box opens and I right-click to "make new folder". Nothing happens. This means I either have to go into windows explorer and make a new folder prior to saving or reorganise my files after the fact. A catalog pane will allow me to make new files with a right click on a gdb but I can't make a new shapefile in a folder nor make a subfolder within a connected folder.
This seems like very basic functionality that is missing... or am I missing something?
This is missing in Pro 2.0 as you noticed and planned for a future release of Pro - hopefully 2.1 later this year. Disclaimer: I'm an Instructor for Esri and am not privy to the Pro Team development cycles/plans but expect it to be available soon. Many customers have been asking for this as well - https://community.esri.com/ideas/12610-give-us-back-the-basic-ability-to-create-folders-within-dialo...
Version 2.1.1...still no BASIC functionality to create a folder!
Beta 2.2 has the ability to create a folder.
I have a basic folder setup (including GBDs, since you can't make those everywhere either in Pro) that I duplicate and just link to from Pro.