I often start the Open or Place command, and navigate to where I think a particular file should be, but then find that it hasn't been created yet. I have to close the Open/Place command, create a new file, hit Save, then navigate to the correct location (again) to save it. If I was performing a Place, I then have to return to the original assembly, hit Place, navigate to the new file's location again (third time), and finally place the new file.
Adding a button to create a new file within the Open/Place dialog would take a 5-step process down to a 1-step process.
In fact, we're almost there, the Open dialog already has a "Create New" button:
Unfortunately, though, it doesn't create the file at the current location -- it just creates a normal, un-saved new file, and you still have to save and navigate back to the desired location again. I propose this button be repurposed into a "Create New at this location" function, and also be added to the Place dialog.