Hi Richard,
With the Labs 3D release of Studio, you can use any of the repository interfaces to upload files. The most common one is probably CIFS. Or FTP. You can mount a drive, for example, and then just copy things through drag and drop into your sandbox.
That said, you're quite right that you will be able to do this from within the tool.
The plan is for Web Studio to offer multi-file upload capabilities very similar to what you see in Alfresco Share. This lets you load assets directly into your sandbox via the web client. This is appealing since, as you mentioned, it doesn't require that you jump over to an alternate interface (such as a mapped/shared drive).
Others may feel that a mapped drive is more convenient since it provides better integration to their existing tools. For example, someone working on graphics files or via an IDE of some sort might find the file system integration much more appealing. By dragging things into their sandbox, they gain all the advantages of changesets, versioning and whole lot.
At any rate, look for this to come in the future. We have the icons there, as you noted, but they are disabled in Labs 3D. We just didn't get that far in time but it is "in the queue" (as they like to say here in the UK).
Michael