You have the option of what applications will show the pin. Right click on an item and you can choose if this is global or app-specific (in this case dolphin, but you can indeed pin per app!).
The file open dialog is likely the "portal", which works securely across sandboxed applications. Every Linux does have a portal implementation.
In KDE this portal has quite some features, but it could be that some are not available, possibly spec-related or security concern. You can look in the settings though.
EDIT: pinned items are available in the desktop-portal. I have not looked into breadcrumbs, but I like the location bar to be editable straight away anyways.
tl;dr There's a ‘filename’ version and a ‘URL’ version of the dialog. Some things are incorrectly missing from the ‘filename’ version because they're internally implemented using URLs.
The file open dialog is likely the "portal", which works securely across sandboxed applications. Every Linux does have a portal implementation.
In KDE this portal has quite some features, but it could be that some are not available, possibly spec-related or security concern. You can look in the settings though.
EDIT: pinned items are available in the desktop-portal. I have not looked into breadcrumbs, but I like the location bar to be editable straight away anyways.