Maybe in the US and other places that have a grid system as their main road planning principle and route naming principle? In Europe, where roads tend to follow the terrain more, I've not really heard this.
I think generally in Europe people think in terms of landmarks rather than fixed directions.
The E roads of Europe are generally numbered that way too[1], though exceptions exist.
[1] https://en.wikipedia.org/wiki/International_E-road_network#N...