Re: that fixed it!
Downgrade to WinSCP 5.17 and this problem disappears entirely. Thanks! (Make sure to disable updating when you install.)
There's no problem. It's just a different default.
You can always opt to Use system context menu by default in preferences:
https://winscp.net/eng/docs/ui_pref_panels_local
Or use the Open > Go To > Explore Directory command as mentioned above.
Never use old versions of WinSCP!