Thanks for your post. This request has been added to tracker.

I just discovered the very useful option (in Preferences|Preferences|Integration|Applications) to automatically open an SSH window when starting a session.

Wouldn't it be logical to also close SSH when you disconnect the session or exit WinSCP?

I'm aware that PuTTY is a separate program, but in my workflow I see it as just another aspect of the same session, so they should terminate together.