How did you install WinSCP on your machine?
When WinSCP is installed using the official installer, it uses Windows registry to store the settings. When portable WinSCP binary is used, it uses INI file to store the settings. The INI file is stored to the same folder, where the binary is stored.
See https://winscp.net/eng/docs/config

So if you had stored WinSCP.exe on your desktop (instead of creating a shortcut to the binary), WinSCP would indeed store its INI file on your desktop.
Consider installing WinSCP using the installer instead.

Even in your current setup, you can configure WinSCP to store the INI file elsewhere:
https://winscp.net/eng/docs/ui_pref_storage
But that's not the right thing to do.

I have v5.15.9 installed on Win10.

When I open up the app, a WinSCP configuration Notepad file is created on the desktop.
When i close WinSCP, the file remains on the desktop.
Is there some setting that I can set to have the file removed or not created on the desktop when WinSCP is opened? ?

tnanks