Yes, this is a favorite petty grievance of mine: this used to work until some years ago and it was very helpful for quickly navigating to key folders, like those used for your current project, as you hadn't to actually read the sidebar items. For another few OS iterations this could be fixed by add-ons, but then this also wasn't an option anymore. (Apple really invested into making this not an option. I guess, this coincided with Jonathan Ive's takeover of interface design, when clean looks according to design templates became more important than usability.)