Sorting directories to be first is very easy with the MATE desktop environment. Install the dconf-editor if you do not already have it. Then navigate to /org/gtk/gtk4/settings/file-chooser/ this contains the setting we need to change.
The sort-directories-first option needs to be changed, this will enable this very useful option. But I still can not get icons in the file picker on the MATE desktop. This is very annoying.