Are you suggesting that WinSCP should remember password for specific hosts (or username+host combinations)? And next time you use the same host (and user) for an ad hoc connection, it should automatically use the remembered password?
Allow to save password for "New Site" under New Session option for login without saving session. After saving session, we could save password and use master password for onetime authentication. but, for new site, there should be same option without saving session.