This seems inconsistent. I would think the current site should be included (perhaps greyed out) or the menu item changed to be "other sites".
I like to visit all "my sites" in turn. I go in rep order and the absence of the current site in the list makes it harder to remember my place. Given a choice, I would choose to show the current site. All the more if my current feature request on showing rep change in the all sites list was implemented.