There is choice of actions you can instruct WinSCP to do once it completes certain operation.

You can choose the action:

• on Progress window for completition of single foreground operation;
• in background transfers queue list options for completition of the queue.

Actions to choose from are:

• Disconnect the session. You can configure whether you want to close whole application along using confirmation option Exiting application on operation completion in preferences.
• Shut down the computer.