Who's "we"? It seems it's only Windows users. Linux users don't use Winrar, and I don't know offhand of any nagware like this in Linux-land.
It’s weird to think Linux programs would somehow be different from Windows in this regard. Why would a program running in Linux are more altruistic (for lack of a better term) than one running in Windows?
It's an entirely different culture. Windows users are used to paying for software (starting with the OS), and Linux users aren't. So the monetization strategies are different. For Sublime, that seems to be primarily a Windows program that tried to cross over, so it's not surprising it would reflect that history.