I also did not have "GSM file" on that list, until I clicked one for the first time. And the behavior of clicking on a file (that is not on that list) is to pop up that dialog box where you pick an application, in my experience.
So your problem is that nothing at all happens -- you click the file and it behaves as if you didn't click the file?
Which means we're back to my previous questions -- do you have something like mozplugger installed (check about:plugins), or do you have an action defined in one of the mailcap files (grep gsm /etc/mailcap ~/.mailcap)?
(Are you actually interested in fixing this or just complaining about it? I'm trying to help but you're really not giving enough information for me to provide any useful advice).