You have always been able to create new folders in Mac OS from the keyboard. In Windows I've always used the mouse as well because I don't like navigating the file menu with the keyboard - likely because you don't get the menu item you'd expect you you press keys on the keyboard.

Right-clicking the desktop and then pressing W and then pressing F is not the same thing as pressing ALT,F,W,F which is the point I was trying to make. You have to use your mouse and then the keyboard - which defeats the purpose. Or use the context key, which is not the ALT key, which used to only be available on the right side of the keyboard (probably still is) and then you have to omit pressing F. It's equally non-intuitive as the other key sequence, but it's different, which makes it even a bigger PITA. Non-intuitiveness plus lack of consistency.

Though don't think that I'm trying to say everything's roses in Mac OS. Apple still hasn't gotten their shit together in figuring out multi-selection using the keyboard or mouse. They've somewhat got it in Mail, and we'll see if the new OS brings it elsewhere. Still needs work though, even in Mail.