In that case I must report that it doesn't work on my MBA 6,2 running OS X 10.10.4. Right clicking (actually ctrl-clicking, given the Mac trackpad) doesn't show a contextual menu either on folders in the main Bookmarks menu, nor in folders in the sidebar of the Show All Bookmarks page). I had tried that, and have just tried again, confirming there is no contextual menu available.
Chris