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The current behavior allows replacements to be made without showing the replace panel, using the Find/Replace Next menu item or keyboard equivalent
In the general case, they do.

Please note though, that on Linux and OS X, the menu APIs are limited, and not all possible key bindings are able to be displayed on the menu (e.g., it's not possible to display sequence key bindings in the menu on Linux)
You can use the portable version to ensure nothing outside the application folder gets written to
Current builds will expand or collapse a folder on a single click, clicking on the disclosure button is no longer required
The selection color is different between the two color schemes
Sublime Text comes with a high res, 256x256 icon in window, which can be seen via Explorer.

Perhaps what you're seeing is a limitation of Parallels
Key bindings are the same between Windows and Linux, except where platform conventions dictate otherwise (e.g. Ctrl+Q to quit on linux), or where the window manager will typically eat the key bindings on Linux.