Sorry, that was a mistake on my end. That feature is introduced in Thunderbird 3.1 (codenamed Lanikai), which is currently nearing its first beta release (3.1b1) early next month.
I've updated the description to read:
This is applied when you right-click one (or more in Thunderbird 3.1 and above) messages and pick Save As...
You can read more about the Lanikai release schedule
here.
Thanks for letting me know about this!
Josh