If you have enabled deleting to recycle bin, what I assume you have, WinSCP delegates removing of the file to Windows. Windows should do the same as if you delete the file from Windows Explorer. From my experience Windows do not backup files deleted from network drives.
i have question where goes file deleted if in local panel opened mapped volume.
in case if it is opened local disk it works ok-file deleted goes to recycle bin.
but if i have my documents linked to server disk on network -then i cannot find my deleted file
with remote panel it is ok also- you assigned temp directory on remote and deleted files are there.