It's implemented on all platforms. The Finder window is shown on the Mac. However, as you can imagine, the Linux/Unix variants are a bit more of an educated guess, based on the particular flavor of window manager. But the implementation is in Slick-C, so it's easy to tweak as needed.
On the Mac you can also use the "Proxy Icons" that show up the application title bar. If you Command+Click on them you'll get a drop-down menu with the file path hierarchy, which will open a Finder window at the directory level you've chosen. But you have to have the Appearance > Advanced > Always show full path in titlebar option set to OFF in order to see those Mac-standard proxy icons.