Because I assume that .NET core cannot run Windows binaries. It would not make sense.
I'm afraid you cannot make it working with .NET Core. WinSCP .NET assembly in not a native .NET framework assembly. It relies on an external console application.
Package WinSCP 5.9.4 is not compatible with netcoreapp1.0 (.NETCoreApp,Version=v1.0). Package WinSCP 5.9.4 supports: net (.NETFramework,Version=v0.0)
One or more packages are incompatible with .NETCoreApp,Version=v1.0.