What you’re thinking of is the old 3.1 startup screen. That has been replaced by the new Light Box functionality.
The old startup screen had the following:
Esc to enter ZBrush. Now you simply press T to exit edit mode and Ctrl+N to clear the canvas. If you want you can even make a macro of that and assign a hotkey to it so that you can do this with a single key press upon launching ZBrush.
Import a model. You can still do that by using Tool>Import.
Load a ZBrush tool. You can still do that by using Tool>Load Tool.
The row of six recently loaded tools. This only showed the last tools loaded through the Load a ZBrush tool command. Selecting one automatically loaded that tool in edit mode. Light Box is a lot more powerful because it shows thumbnails of everything in your ZTools folder. Double-clicking on one of them replaces the polysphere on the screen, putting you to the same place you’d have been with the old startup screen. On top of that you can put folder shortcuts in your ZTools folder and Light Box will display those as well. In this way you can instantly navigate to a project folder, another hard drive, or whatever you prefer.
So the bottom line is that you lose nothing with the new approach, and in fact gain quite a bit that wasn’t so easy before.