Why does selecting a file in WinSCP not work as I expect (as is usual in Windows)?

You probably use Norton Commander-style interface. Selecting files in this interface is same as in Norton Command file manager. If you prefer Explorer-style switch to Explorer interface (see “Preferences” tab in login dialog or preferences window). You may also enable Explorer-style file selection even in Norton Commander from Preferences window.

Having selection method in Norton Commander mode gives an advance ability of selection and focus to be different.