OK, It seems that it happens when WinSCP is maximised only. I'll try to do something with it, but I'm afraid that I do not know what :-(
Anyway thanks for your report.
Using WIN2K 5..00.2195 sp4
I usually have both a winscp and a putty window open, maximized when in use. If I do the delete in the winscp window, the putty window replaces it. I run putty separately - that is, not started from within winscp.
What version of windows are you using? I have never seen the problem. However note that the context menu in local panel is feature of Windows explorer, not of WinSCP. The most of things it does is out of control of WinSCP.
Delete from local pane using "context menu"->delete in Commander mode causes winscp to flip behind any other currently running apps. Remote pane is OK.
3.7.1 didn't fix it.