Thank you, at least a no is an answer.
You are right, check file existence before launching WinSCP is the second option.
But as the ETL tool has no "File Existence Check" component and I do not want to use a custom script, I decided to use the /log option of WinSCP and to keep the log file only when the step fails, which will allow me to distinct "missing source" issue from other ones (one of the many third options).
Great software by the way
Configuration : WinSCP 4.35