I definitely agree that it's strange that Nautilus can do this and the file picker can't. I also agree that consistency is important, but this issue has never caused me problems so I don't think anything of it. There are other things in Gnome that are keeping me from using it after being a vocal supporter for decades.
I think the difference is that GtkFilePicker is a part of the running GTK program, like firefox for example. If you wanted to get all of nautilus' features, you would have to embed all of nautilus into your program, including features that would be innapropriate fir a file picker
Maybe instead of just using GtkFilePicker on linux, it should first check if there's an available "xdg-file-picker" in the environment, which gnome sets to nautilus with some flags to run it in file-picker mode.
Embedding Nautilus doesn't mean enabling all its features.
That said, I don't know if that's a problem, either. Windows does exactly that for its file picker - it's basically embedded Explorer, complete with context menu integration etc. And it works.
