tl;dr: As a workaround, you could create a symlink, say, in your
Desktop or home directory to
/var/run/user/<UID>/gvfs/smb-share:server=yadayada. Then drag that symlink into the sidebar to create a bookmark, if you want to. That's how I manage to cope.
I, too, find this behavior frustrating. The "native" GTK3 file chooser for elementary OS Loki (
pantheon-filechooser-module) seems to be missing this functionality for the time being, but in applications using the older GTK2 one (LibreOffice for example), mounted network locations show up in the sidebar just fine.
The closest I can find to anyone tracking this problem is this GitHub issue for Files.
Furthermore, I can't fathom why, in 2018, after cribbing tons of other ideas from OS X (docks, global menus, Miller columns, app stores, app bundles,
launchd, etc.), Linux distros still insist on hiding network filesystem mounts in perverse places like
/var/run/user/<UID>/gvfs. At least with OS X / macOS, mounted network filesystems are still relatively easy to find from the terminal or non-native (Java, GTK, QT) file pickers under
/Volumes—in the same place as all the other mounted filesystems.