The "Find Files" option is great for locating a file or files where you only know part of the file name (e.g. a date forming part of the filename.ext construct.
Even better would be for a remote search of files looking for any which contain a given text string.
For example, my client receives a daily file from his supplier with price details against 10,000 products. For three days (although we didn't know that at the time) this file contained an error. To locate the error we had to download 353 files and then search them locally for the erroneous price. That took hours. It would have been much easier to ask WinSCP to search remotely and to give a results list containing
a) the name of the file that the string was encountered
b) the line number
c) the actual line