first of all I want wo mention that am I am of fan of WinSCP and enjoying it everyday in my professional and private life.
However, I was looking for a way to transfer files in one step between 2 remote servers (without copying them locally first) and was amazed that the feature is not available. However, the google search revealed quickly why this feature is not present.
Howver, in the explanation why this is not present, it came to me too short; I mean, the feature is not necessarily related - in my opinion - to physically transferring the files directly between the servers, but much more just from the interface point of view to spare the intermediate step of copying them locally, then from the local buffer towards the second remote server.
Therefore, one solution could be to - transparently - get the files locally and in the same step - or afterwards, but without any user interaction - tu transfer them towards the second server.
There is everything already in place in winscp, what is missing is just this transparent intermediate local copy, .that will be removed as soon as the transfer completes.
Another reason why I love winscp: it allows you to connect through ssh tunnels; their configuration is a peace of cake.