Thanks for your suggestion.
We will see, if more people ask for this.

Thank you very much for your reply, and for the tip.

I'd however like to suggest that we could then have both ways, what do you think?
So, it could auto-select as is, but also highlight with a background.

Or have a setting for that, so we could choose ourselves whether we'd like to Select, or to Highlight.

Thank you once more, and have a great day!

I understand that for some purposes, the FileZilla approach can be advantageous. But on the other hand, having the files selected has advantages too, as you can then work with the selected files (like transferring or deleting them to resolve the differences).
Note that you can configure WinSCP not to clear the selection when you "click somewhere".
Set Explorer-style selection to Never:
https://winscp.net/eng/docs/ui_pref_commander

On WinSCP, if I "Compare directories", it seems that all it does is 'select' the files that don't exist on the other side.

The problem with this is that as soon as I click somewhere (e.g. to select another file, or one by one), that comparison selection is gone/lost.

What FileZilla does is it adds some background colors on each file, rather than selecting them.
They use Yellow for files that don't exist on the other side, and Green for files that have a later modified date.
Selecting files does not lose the background colors. Background colors are removed when I de-select the "Compare directories" button.

Attached is an example image I found.