Thanks so much for reporting this. You're not going crazy! It's a bug because there is a missing dependency! I've opened a new issue on our tracker. I'll aim to fix it at least by v15.1, but possibly for the remaining v15.0 builds as well. As per my note on the tracker, in the meantime you can fix it for your current appliance like this (via commandline):

apt-get update
apt-get install libfile-mimeinfo-perl
service webmin restart

Now when you right click on a zip file (or a tar.gz or tar.xz etc) it should give you the option to "extract"! :)