The function you ask for is not implemented yet. You may notice that it is one of the options on poll on WinSCP home page. However with SCP protocol you may use predefined custom-command "Move", which does in fact, what you want.

My question is: how to move (is it possible at all?) folders on remote host without downloading it to temp directory on my local machine? I read about problem with temp directory in FAQ, but as I understood, it was about "caching" files after transfer, and I have the problem with remotely moving folders "inside" server. :(