Yes, it’s sometimes annoying, but it’s consistent: you edited the file, so it’s open in the editor.
One deeper trick that I use sometimes is a regex search on the command line to get a file list for a new Sublime window:
[project]>subl -n $(grep -l foo *.cpp)
The grep command there searches all files whose names end with “.cpp” and returns a list (-l) of the ones that contain “foo”. That $(…) syntax tells the Bash shell to run the grep command and replace the $(…) with the result of the command. So the effect is getting a new window (-n) of sublime, with all the files that matched the regular expression. Then Sublime’s regex search and replace can rewrite all those files, and File/Save All, followed by closing the window, leaves everything else as it was.