Compatibility with MSVDM has been improved. The partial fix will be included into the next release.
That's known problem. I hope to fix it eventually :-)
I've noticed problem with resizing winscp window after switching to diffrent desktop with MSVDM. Latest working winscp version is 3.7.5 (build 294). In every next release after you switch desktop and back again you have to close application, because it is not possible to show window content again - the windows is minimized and you can only see piece of title bar.
About configuration: Windows XP, MSVDM, classic start menu