It should behave like you want, if you switch to "Download files via temporary folder" drag&drop mode:
https://winscp.net/eng/docs/ui_pref_dragdrop
It has drawbacks though.

I have been using WinSCP for decades. Like another piece of evergreen software – WinRAR – it is essential for me :)
I could really use that files dropped on the desktop would appear where I dropped them (e.g. on screen two right at the cursor on left button release). Just like WinRAR does. Is it possible to add that feature? Right now they always appear in the top left spots on my primary screen.