How do I know if the connection is secure?

With WinSCP the connection is always secure. Simply, WinSCP knows only one protocol, SSH (Secure SHell), and it is secure. Whatever settings you change, you cannot make it connect unsecurely.

Of course appropriate setting should be made on the server, in the first place. However secure is the client you use, if you still have open FTP or Telnet port on your server, you are not safe!