Windows can't handle directory names ending in "." (dot), and forbids the use of certain characters in file/directory names (?, for example).
I'm going to describe the problem in terms of a directory with a trailing dot, but the same problem applies to files with restricted characters in their names.
When WinSCP is synchronizing a remote directory structure, such names are written locally without the trailing dot, which is fine.
Unfortunately, on subsequent synchronizations, WinSCP wants to delete the local directory (without the trailing dot) and re-transfer the remote directory (with the trailing dot).
So if I sync my music between a linux machine and a windows machine for example, WinSCP wants to delete "r.e.m" and re-transfer "r.e.m." every time, even if nothing in that directory has changed.