Hi Kornel,
Thanks for your feedback! As for your questions:
1) Hive on Oozie sort of does this already. When you run a query using Oozie, a new table with the results is created. Once you find the table in Hive Metastore Explorer, you can use the Open in HDFS option to locate the table files on HDFS.
2) I have created a CR to investigate the issue (TFH-3993), I'll let you know as soon as we come up with something.
3) There are not any immediate plans for such feature, but you can use Ecosystems for your purpose - create a new ecosystem for each of your "projects" and each of them will remember the opened sql files.
Regards,
Lukas