I tried setting up my Mac to share with my Windows laptop and couldn't get it working. Probably user error or a network issue on my part, but unfortunately can't verify the behavior that you are seeing at the moment.
I don't think we do anything to specifically to not show a networked location in that window. Is this something that has previously worked for you?
If you go to the "Open a file" dialogue from some other app (for example, Notepad), are you able to see this Mac as a networked location?