What you are asking is easily done, and it is the normal way to do things. I used to use Filezilla a lot, but it's been several months, so I hope I remember everything correctly.
First, you set up the sites, and set the starting directory, both local and remote, here. You do not need a bookmark if you only want to go to this location - you simply click on sites, choose the one you want, and press the connect button.
Now, lets say you have something like a few Wordpress sites, which has directories for themes, plugins, etc. They all have the same directory structure, so you can set "site specific" bookmarks for each site all with the same names (you would set these once you're connected to the corresponding site). These can have the same name, because they are site specific. Once you're connected, you can go to the plugins directory of whichever site you're connected to from the bookmarks menu, or you can go directly there from the sites menu tree, where it should also show the bookmark as a branch on the tree - you just select the node, then press "connect".
If you have only one web site, you can set bookmarks globally, and you will see them from the Bookmarks menu even when not connected. Or if you have a lot of sites, you can simply set favorites here as global bookmarks, to make them quicker to find.
Edit: Feel free to ask for any elaboration if you need it. I didn't want to get too detailed if you didn't need more.
Global Bookmarks Revisited
I went back and tested bookmarks some more, after reading a reply, and my memory wasn't 100% on how it worked. It seems that global bookmarks do not, indeed cannot, have a full URL, just a linux pathname. So there's no way to connect using a global bookmark. So, I personally can't see a benefit to global bookmarks, except if you don't have multiple sites, or not very many bookmarks per site, then it would make the site manager less cluttered, since you would not see the bookmarks any longer in the tree.
Personally, I'm getting away from Filezilla; I like it for FTP, but I'm moving more toward ssh, and learned to mount an ssh connection locally, which is even better than ftp.