at here as in pic --
MTP devices won't appear in that particular menu, and that menu isn't editable (beyond the things you can change via Breadcrumbs Configuration), but you can make them appear in any editable toolbar or menu using the Go DRIVEBUTTONS command.
For example, I put Go DRIVEBUTTONS=lettersbeforelabels in my Favorites menu, just to the left of where you are clicking in your screenshot, and that will include a list of any MTP devices there.