Putty logs an entry in /var/log/wtmp everytime someone logs on. WinSCP doesn't. It would be most convenient if it were possible to allow WinSCP to make such an entry.
I do not think that PuTTY logs anything on the server. I even do not think that it is possible.
It is rather your SSH server that does it. And it probably does it only for interactive sessions (PuTTY) and not for non-interactive ones (WinSCP).
To verify this try to login using PuTTY with checked "Don't allocate a pseudo terminal" on SSH tab. It brings PuTTY session closer to what WinSCP does, but not exactly.