[exceptione]

You have the option of what applications will show the pin. Right click on an item and you can choose if this is global or app-specific (in this case dolphin, but you can indeed pin per app!).

The file open dialog is likely the "portal", which works securely across sandboxed applications. Every Linux does have a portal implementation.

In KDE this portal has quite some features, but it could be that some are not available, possibly spec-related or security concern. You can look in the settings though.

EDIT: pinned items are available in the desktop-portal. I have not looked into breadcrumbs, but I like the location bar to be editable straight away anyways.

[kps]

Might be https://bugs.kde.org/show_bug.cgi?id=406450 as in https://bugsfiles.kde.org/attachment.cgi?id=158755

tl;dr There's a ‘filename’ version and a ‘URL’ version of the dialog. Some things are incorrectly missing from the ‘filename’ version because they're internally implemented using URLs.