The Close button is redundant anyway - does it have any purpose beyond what the standard close button at the top-right already does?
Any dialog box has a button to cancel/close it. That is convention.
Yes - convention, exactly. Close is rare, and only is convention when the dialog does nothing but present some buttons. When changes could be made in a pane, the button is Cancel. Which is what the button really should be in WinSCP.
I want to be clear, I really like WinSCP. It would just be nice to fix a couple minor UI issues - "papercuts" as they're called in the on-going Ubuntu usability project.