Almost a year on and here it is :)
- Workspace loading and saving implicitely open in the current document's folder.
- R -> Load script's libraries: parses the script and identifies all library() and require() entries and allows the user to select which libraries to load.
- Make "Run selection" run the current line if there's no selection and change the order of the menu and toolbar entries.
- Profiles can be defined and used, allowing rgedit to interact with Python, Octave or even remote sessions through SSH.
As usual, see the help files (especially the new one on Profiles).