If the active connection is lost, the taskbar button should flash. If a non-active connection gets lots, you should get a taskbar notification popup.

I mean when a regular network error occurs - the Internet disappears for a second or something like that. How can I make a minimized window blink informatively in the status bar?

Can you please post some screenshots or even better a screencast documenting what exactly happens and how are you using WinSCP?

Sometimes when I write changed to file and click Ctrl+S I go back to browser and reload page to see changes. And nothing. And after few minutes I understand that file is not sending because connection is lost. So here the question what settings I need to go for hilight this?
I mean, so that the status bar blinks if the file is not downloaded immediately as a notification, and not so that I expand the screen and only then see an error message.