According to W3C the option value could not be empty:

W3C: "Element option without attribute label must not be empty."

That's why I choose to set the Media directory name as first option. A second reason for this is that I think it is confusing for visitors that the first option is blank while it can have items.

I agree with you that if the list of folders is empty then we could hide the folder list. But this is only possible if the media items are loaded immediately when clicking the menu link. Currently this is not the case.