What file should I remove?
Since 3.6.7 WinSCP checks for obsolete translation files in its startup directory. Particulary for translation to your Windows default language translation, which is loaded automatically on program startup. Unfortunatelly there's bug displaing the error message (the file name is missing), if the translation is "very old".
The application seems to work anyway, so why this message?
The risks are small, but unpleasant. Particulary you may see completely meaningless texts in application menu, etc.