I suspect this feature makes more sense on a windows platform. On linux where we can go psql -f ${SQLPATH}/file.sql . it becomes less pressing. Even Oracle on unix/linux where you can go sqlplus <<EOD @${SQLPATH}/file.sql EOD. makes it less a requirement.
I don't see why you couldn't do the same thing in command prompt on Windows:
SET PGSQLPATH=C:\somedir
psql -f %PGSQLPATH%\file.sql
Naturally, you could configure a permanent environment variable instead of using SET.
