You can have transfer setting preset with auto-selection rule based on hostname and/or username.

I understand that you can add custom presets, but like the OP wondered, I too am wanting to associate transfer mask(s) to individual sessions/sites. Is this possible?

I believe that "transfer settings presets" is what you are looking for:
https://winscp.net/eng/docs/transfer_settings

I think it would be a great idea to have per session transfer masks. I use WinSCP for several different projects. Each of them have file/folders that i do not want to download when refreshing my local files. Some folders on "project A" i need to download, but "project B" might have a folder of the same name that i dont want downloaded. I have to remember to switch the mask before i download, whereas it makes more sense to me to have masks that are stored per session, rather than globally. I have dozens of transfer masks, some quite long, that i have to sort through.