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.

However, please ensure that the server you are connecting to is a secure server to start with - WinSCP only secures a particular file transfer session from server to client and from client to server. If you still have open FTP or Telnet port on your server, you are not safe!

Also read documentation to learn more about SSH and security in general.