You might've missed the setting in the activity page. Please look at ~5:25 in that video for the specific settings.
With Nsight 3.1 VSE, we removed the 'actions' column because other than opening it in the editor there was not much 'action', and it was taking space. Instead, this pane now behaves like the Visual Studio call stack, where you can double click on each row to open the file.
Let me know if that works for you.