Yes, I’m on Lion. That’s bizarre that you don’t see the same options. 
Here’s what I see:
Ralph, that feature doesn’t show in my Lion by default either.
Hm, yeah, it must be caused by a Finder add-on I’m using, called TotalFinder. It’s very nice, actually: creates Finder tabs that can be linked together, making it easy to drag items from one folder to another etc. Anyhow, that must be creating the option for me. Sorry for the red herring.