Yes, it’s gone. I’ve found this issue when upgrading from SilverStripe 3 to 4 as well. You now have to upload everything through the Asset section of the CMS for it to be a part of the file database.
It has been done because not everyone is using the local filesystem so it would not work if you were using Amazing S3 for asset storage. Although I suspect most people are still using the local file system so I think it should still be an option.
Make sure to set Legacy Filenames to true in the config.yml as well so as not to get every file renamed at least until you’re ready to turn on file versioning (which makes an already messy assets folder even messier).
SilverStripe\Assets\Flysystem\FlysystemAssetStore:
legacy_filenames: true
SS4 is also storing all _resized images right next to the original file as well so cleaning those up is now a much bigger pain than it used to be in SS3.