You'll notice that in the menu, there is:

* Add New File...
* Add File(s)...

Unlike Windows, GTK+ is quite explicit about what its file dialog can and will do.  In Windows, the "Add File(s)" option opens a file dialog that allows you to add either an existing or an entirely new file to the project.  In GTK+, when you use the "Open" file dialog, the file must exist (at least as far as I can tell).

To add a non-existent file, we have to use the a "Save" dialog to save a new, non-existent file to disk.  It's not ideal, but that's the explanation for the "Save" button in that window.  I'm not sure it would be particularly easy to change the button.

I am guessing that, 'Save' does not both add the selected file(s) and then save the project.

If it does not do this but just opens a file to add to the project, then, when using this dialog to select which files to add, I'd expect the available actions to be 'Cancel' and either 'Add' or possibly 'Open', not 'Cancel' and 'Save'.
---
John