Since I often work with Stata and R at the same time, I like to have all my scripts across all languages in the same sublime text window. Then I set both R and Stata to the same working directly and do everything with source() and do statements.
I think that the current layout helps users come into R for the first time a lot, since its an "all in one" interface, but I am not sure that a workflow with clicking "run source" is best for reproducibility, since it discourages the use of a master script to run everything. On the other hand, getting users from excel and SPSS (and Stata) to R has enormous benefits, so it's fair that the UI is designed the way it is.