Do you mean that WinSCP is not sending keepalives at all or that you get disconnected despite keepalives being sent? If the latter, it is the server ignoring them. It is rather common, that's why you have the other option.
I have tested this problem with 4.3.3 and 4.3.4 with the same results.
My OS is Windows 7 64-bit.
I also confirm it to occur when connecting to both Ubuntu 10.04 LTS servers, and Fedora 11 servers using SCP.
The keep alive does not function when "sending NULL packets", however using "execute dummy commands" does seem to work.