We logged a separate feature request which you can follow.
FileDialogs: Add built-in, auto-populated QuickAccess section like in MS Dialogs
We actually have this feature in our Winforms Dialogs so this should be easy to implement in WPF too.
We have the same issue so we cannot use the Telerik component.
Here an example with Telerik:
Here the same with the default Open/Save dialog:
As you can see "Quick Access" and "Desktop, Documents, Downloads, ..." are missing.