This is a misconception. It used to be true, but not anymore for a good couple of years.
You can just make a folder, and put all your stuff in it, like you would do on a normal computer.
Also, you can let individual apps manage your documents by themselves, if you prefer that.
In my case, I tend to do a bit of both. In some cases I will like to let the app manage files for me, and keep it all inside it. In other cases I will want to have a project folder where I put all related files. In any way, both are possible and quite easy.
##
One caviat is - some apps are either not updated or unskillfuly programed, so there are apps that work bad with files app. Its up to developers to update those apps, in my case I avoid them, and find quality substitutes