That is actually not a bug in yEd (the file dialog is a feature of the Java platform, not something we created). Moreover, I think this is not really a bug at all, because I have seen this behavior in other (Windows) applications (such as e.g. Windows Explorer) as well. (Have not yet experienced this on Linux, though.)
Personally, when working on Windows, I try to double-click the folder icon instead of the directory name to prevent this from happening.