The option appears for me no mater which window I have selected.
Chances are something got messed up with the install and PP just doesn't see Photoshop. I can only think to reinstall on this one.
Awhile back I had the audition option disappear from Premiere Pro, and I had to uinstall audition then reinstall it and the option came back. So I bet this is probably the same case. Sadly though I have no clue what caused it to occur in the first place. Other than the generic assumption that it obviously got corrupted somehow and Premiere didn't see it for some reason.
Well I appreciate the feedback. I did solve the problem. I was very wary of reinstalling software since I have so many 3rd party plug-ins that I would have to reinstall that would take forever. I notice that in After Effects it has a similar command File > New > Adobe Photoshop file, it was NOT grayed out but errored out when I tried to run it. It turned out that my Photoshop files were not being recoginized properly in Windows. The PS icon would not show up in the name column of Windows Explorer, although the Type woudl be correct. So if you clicked on a PSD file it would not open in PS unless you opened directly from PS. So I associated one PSD file in Windows Explorere with Photoshop CS6, which made the ICONS show up which solved all my problems in AE and Premiere. Easy fix, once you search the entire universe back and forth and think about it for a bit. (:
When you use Windows Explorer to (re)associate Photoshop with a PSD/JPG/etc file, you are actually having WinExp write/rewrite a Registry key
So, without having to learn how to use a Registry editor, you have just changed/fixed your Windows Registry