I would welcome an build-in explorer window on the side, so the MD-files are very easily accessible. I actually use MarkdownPad as a small(?) note taking application, and I have many files in a conscious tree structure. Having them at the tip of my fingers, instead of using the Open File dialogue seems very good to me.
Then optionally, I would like to be able to set a 'virtual root' in that explorer window, so limiting access to my PC to that 'virtual root' and it's subfolders only: For me that would be 'C:\Some Folders\Dropbox\Markdown\' as that is where I have my tree structure and store all my MD files.
MarkdownPad would be become my ultimate versatile Tree Structured data-management Tool !! )