You can change the default action to "edit" and configure "editors" for pdf and images.
Or you can make the "early close" interval shorter (or even zero). You need to change following registry key:
HKEY_CURRENT_USER\Software\Martin Prikryl\WinSCP 2\Configuration\Interface\Editor\EarlyClose
That did the trick, thanks.
Great software by the way, second to none for SFTP use.