Comment by jfb

No insight whatsoever. Probably nobody ever asked for it, to be honest. "Connect to Server ..." was overwhelmingly used to connect via AFP or, shudder NFS at the time, both of which expose a filesystem like interface. How much like a filesystem is a SFTP connection, as opposed to a FTP-like one? That's probably the reason, right there: WebDAV purported to expose filesystem semantics, which meant that in theory adding it was simply defining a communications protocol to the Finder, rather than a complete translation layer between filesystem operations and FTP ones.