The PDE stores all sketches by default in the user's 'sketchbook', a
'Processing' folder stored in the users home documents folder.
This is a strange UI choice because Processing is a tool users apply to
different projects - most people do not use it just in itself.
Therefore a more sensible choice would be not to create this 'Processing'
sketchbook folder and to allow users to save sketches wherever they thought
appropriate, most likely within a folder for the project they were using
Processing for. To allow access the recent sketches, the PDE should have a
'Recent sketches' list on the File menu.
This makes more sense from the users' point of view.
Cheers,
Henry

The sketchbook is not enforced, it is only the default. You can save
sketches anywhere you like. You can also open sketches from anywhere you like.

If you'd like to add a "Recent Sketches" menu option, please file a new bug
as an "enhancement" (under "severity").