Windows has had a mechanism for creating empty documents via the shell since Windows 95. I don't think I've ever found it useful. (Much like the ability to drag and drop text from WordPad to the desktop to make a clipping file.)
Coming from Windows all my life to OS X was a bit bumpy. I will say not being able to create a quick text document is so very mildly annoying. But I've learned to use Notes.app in place of my usual purposes for *.txt files unless I'm wanting to move some chunk of text data somewhere quickly outside of the walled garden of my Apple ecosystem.