That is normal, provided a scenario was opened (if I understand you correctly).

Following the Wombat example. I can open the Wombat class in an editor (right click option available to open source code). However, this option is not available for Actor class. Instead it has option to open documentation. Is there a special folder where Actor source has been placed?

That's normal as well. Consider World and Actor as super classes that you use to separate your game components. Actors are objects which live in a World. Both of these classes have special behaviours which you use to manipulate how your game components behave.

If you wish to view the source of the World and Actor classes, you can download them. Look in the lower-right corner of this page.