Given the time to setup and tear down some connections (specifically using kerberos auth) when transferring small files I think we should be given the option of using this where it makes sense for some environments.
Have it disabled by default, but please provide a check-box to enable it...

I do not think this feature is good for file transfers. It would be bottleneck.

Development versions of PuTTY implement a connection sharing scheme to allow multiplexing. So, you can have multiple terminal windows and psftp connections all sharing the same connection.
see: https://www.chiark.greenend.org.uk/~sgtatham/putty/wishlist/ssh2-generality.html
Could winscp work with this?