So you're saying if you click on the BOOTCAMP drive on the sidebar, the sidebar disappears?
On my desktop, I have both the drive icons for my Bootcamp partition and my OS X partition.
If I open the Bootcamp drive, I get the above picture without the sidebar. Also, any folders I open will open in a new window as opposed to the same window. It gets annoying if I have to open a bunch of folders to get to a specific file.
If I open my HFS drive partition, everything works fine. I can access my Bootcamp partition via the sidebar and everything stays inside the same window.
I was thinking its because OS X can't write to NTFS drives, but a drive I have formatted for exFAT behaves the same way.