Really only jps can answer this but why dosen't ST2/3 support displaying the remote file path like other Mac editors do? Smultron, BBEdit, Textmate and others all show the remote file path when the files are opened via Transmit (SFTP) , Cyberduck (SFTP) and other methods.
Sublime text isn't as useful if you are working with primarily non-local files.
P.S. I know there is a plugin to add sftp into Sublime Text but there are other FTP/SFTP options it would be nice to have supported.