First of all, i like Winscp and enjoy using it very much.
Just a small thing. When i want to save a session; Winscp prompts when i fill in a password for the server i'd like to connect to, that it is unsafe to locally save the password.
So i thought i'd leave the proxy password empty for the same reason. Winscp doesn't ask for the proxy password when i try to connect to a ftp or sftp server. It probably passes the username and an empty password. The proxy then denies connection:
Proxy request failed, can't connect through proxy server
HTTP/1.0 403 Forbidden