Answer
The File > New menu is a dynamic menu, which populates its submenu items based on the current context (i.e., based on the type of data you select in the tree view). You cannot create any “new” objects in some cases. For example, when you select a root object – “Catalog” - in treeview, this object is not a physical folder on your disk, and therefore, it will not allow you to create any new data under this folder.