They added this to Cubase 8, so glad to see this implemented! I was also very happy when Pro Tools added this 4 or 5 so years ago.
I can now make a macro that allows me to select a region and reveal it in the Finder. Just assigning a command to Media - Reveal in Finder will not work since it works off selected media in the pool or in MediaBay.
Audio - Find Selected in Pool
Media - Reveal in Finder