I've added it to the next version:

I've chosen to do it like this because:
-It's faster to run a script (just click it)
-Saves screen space
-Folder hierarchy is preserved
-You can change the default folder and the console also obeys it, meaning saving/loading files to the right folder is very fast
-Your way will either save a script automatically when the user opens another one from the side bar or loose the changes - both are unusual behaviors
The only disadvantage is that it takes slightly longer to execute a script because it has to initilialize the interpreter every time you run a script as opposed to reusing the console's interpreter.