The chapter you refer to links to https://winscp.net/eng/docs/public_key#generate in the very first sentence, which in turn links to:
https://winscp.net/eng/docs/ui_puttygen

I didn't see anything on this in the documentation I read. If I missed it, please point me in the right direction.

The guide, https://winscp.net/eng/docs/guide_public_key#generate, only discusses how to setup pre-established keys, not generating a key.

I need to verify that the SFTP client can generate SSH-2 RSA 2048 keys (public).

Thanks.