I too am unhappy with how Apple have removed many useful features/capabilities/functions from iPhoto with their move (upgrade?) to Photos. This one, not being able to easily find and navigate to the filename in the folder structure of where the picture is stored is among the most annoying for me.
I loved iPhoto and used it as my primary import tool, and editing software for quick/minor fixes/adjustments. However, it isn't the only product I use for the saving, storing and display of my 10,000's of photos. My need to be able to access filenames, and use tools to manipulate the name and other metadata properties enabled me to easily sort and order photos as I needed. I need to be able to do this, as I am sometimes not the only photographer taking photos at an event, and I therefore sometimes have to combine photos from other peoples cameras, with varying date/time signatures.
If there is a way for someone to be able to switch back on the ability to "Show in Finder", I would really appreciate someone letting me know!
Many thanks!