SFTP protocol specification requires that client and server uses UTF-8 encoding (Unicode) for file names.
WinSCP by default uses UTF-8 encoding. You can force non-default behavior using session option UTF-8 encoding for filenames, particularly when your server does not use UTF-8.
Please be aware that if your server does not support UTF-8 encoding, but uses its local legacy encoding instead, it is its fault. The problem is not on WinSCP side. You should push your server provider to add support for UTF-8, and not ask for support of legacy encoding in WinSCP.
With WebDAV, a client and a server are required to use UTF-8. No configuration is necessary.