i have a similar "problem" with ssh connections (for all my 4.x winscp versions). if i connect to an ip in my lan where no ssh server is running, winscp runs in a timeout without leaving me an option to cancel the try of winscp to connect.
here i connect to an local network ip where no ssh server is installed:
also if i know that winscp can't connect because i have to start/install ssh server first i have to wait (in my case 22sec) for winscp to show me the following error window:
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and then i only have 5sec to press ok, if a miss to press the ok button i have to wait another 22sec in the "freeze mode" until the error window reappears and i can press ok.
it would be great to let winscp try to connect in backgroud but leaving me the option to cancel the connection try.
This issue has been added to the tracker: