Annoying, isn't it?
I miss this feature too. Using the "Copy Link(s) to..." feature in the links panel flyout menu (under utilities) has been an ok workaround in some cases (I found it here: http://indesignsecrets.com/copy-all-your-linked-images.php), but it's not the same thing, so I think I'll post in the feature request forum in the hopes that it will be reintroduced it in a future update.
I BELIEVE THE ISSUE IS WITH THE OS, NOT WITH INDESIGN.
I have one machine running snow and 5.5. It automatically highlights the file name of the missing link once you navigate to the folder.
My other machine is running lion and 5.5 and 6. In neither InDesign 5.5, nor InDesign 6, does the file name automatically highlight.
If this was a feature tied to ID 5.5, then it should continue to do so in Lion, which it does not.