Ok, this thing really drove me crazy. I was exporting, importing, deleting sites etc. Those subfolders kept appearing.
At least I have a suggestion where to look.
I have stored workspaces. And those contain sites which I have later arranged in a directory tree.
I think the problem is that every time I import, this workspace somehow causes a restore of the previously moved sites.
I noticed that clicking on the stored workspace did not show any sites in the list.
Perhaps the bug is that during the rearrangement of sites into a tree, the stored workspaces are becoming illegal and WinSCP doesn't acknowledge this.
Can you please, confirm there is an issue with this?