I have similar problems with the Finder. Right-click a file on the Desktop and you have the option to compress a file. Open the Finder to the desktop folder, that option isn't present -- it's grayed out on the Finder file menu as well.

I really like the fact that the Windows save dialog is basically Windows Explorer, and I really miss those features when an application uses the older file save API (which gives a more Windows 95 / 3.11 interface).