Yes, or at the very least, put "no thanks, go back" as a choice in the pop-up that currently appears that asks you if you want to create the non-existing directory. But a personally, I would prefer a hard lock, so that sync browsing never turns off.
So you want WinSCP to prevent you entering directory that does not exist of the other side?
It would be nice if the Sync Browsing did not automatically turn off when entering a directory that does not exists on the other side. Some lock option.
Of course that would mean that if you want to enter a directory, it should first check if that exists, before honoring the request. But it would make life a lot easer. It would essentially also be a 'scope-lock' for the session, as one could not go out of the "root" directory of the remote server.