HE does check for existance, but not in interactive cases (when you call command OpenSelectedFileName).
Because it is better to inform user that function fail, then silently do nothing. In case of message he can at least select file name manually and try reopen.
But internally to select which of ways to select, existance check used. For example, if HE could not recognize file name in text, it checks clipboard content.
Possible solution would be to open File Open dialog (prefilled with selected text), in case than file not found to give user possibilty to select it manually. What do you think.