I'll check it. But I doubt, WinSCP uses core from PuTTY and it definitelly does the same think as PuTTY in respect to DNS.
winSCP: 3.8.1 build 328
What version of WinSCP and PuTTY are you using?
I have noticed that while I can use ssh via PuTTY to get out of our network using a SOCKS 5 proxy, WinSCP often fails to connect. I sniffed the traffic from my PC and have found that DNS resolves the name of our SOCKS proxy to two IPs. The trace shows that one of the proxies was not responding to TCP SYNs (presumably dead). WinSCP never seemed to try the other proxy IP. When I put the IP of the second (working) proxy into WinSCP directly rather than using the name, it worked fine.