Sorry about the ineficient mouse cursor and lack of shortcuts in this video.
EDIT:It's not a bug. A explanation from the autor:
'For files that are on disk but not included, double-clicking on the error will not do anything as I haven't found a way to make the Solution Explorer highlight a file that isn't part of a project (eg. when you've enabled 'Show All Files' for that project)
If you have a file referenced in a project but that file doesn't exist on disk, then the navigation will work."