This will be fixed in the next release.
a bug is hidden during login procedure. Please try (in v3.5.0 build 204) the following:
- open WinSCP
- select any saved session
- press the "Load" button
- change the host name which you will connect to
- press the "Login" button
- after connecting and making something close WinSCP
Ok, now repeat the steps above and observe that after pressing the "Load" button a new host name is loaded. But you did not press the "Save" button to store the session after changing the host name...