I have thought about this myself. Either add the sidebar links to Appearances or add the widgets link to Sidebars. Both have their pros and cons regarding UX.
If I move both "Show All" and "Add New" from Sidebars to Appearances (and rename them of course), there will be some inconsistency; "Add New Sidebar" just doesn't fit in there. If I remove the link from the menu, users will have to click one extra time in order to create a new sidebar. Now, one extra click doesn't sound as much, but I'm sure lots of people wouldn't like it - including myself.
If I move Widgets to the Sidebars menu, I would mess with WordPress' own structure, and this would without a doubt lead to confusion.
I think that having a collapsable/top menu for every post type is the most intuitive way to deal with and seperate different types of content in the administration.
Based on this, I'm sorry to say that the structure won't change. I'm sure that there are some snippets out there that allow you to alter the menu though.