OK, thanks for your report. You are right. I'll look into it.
I'm using winscp 5.9.5 build 7441 on windows 10 transferring files to a mac os x system using sftp protocol from winscp command line.
the directory tmp on the mac has a file named blort in it.
If I connect to the mac system, and do (username replaced by x's)
winscp> cd tmp/blort
/Users/xxxxxxxx/tmp/blort
winscp> pwd
/Users/xxxxxxxx/tmp/blort
winscp> ls
Error listing directory '/Users/xxxxxxxx/tmp/blort'.
No such file or directory.
Error code: 2
Error message from server: No such file
(A)bort, (R)etry, (S)kip: Skip
winscp> cd ..
/Users/xxxxxxxx/tmp
winscp> ls
drwx------ 11 xxxxxxxx staff 374 Jun 7 16:52:35 2017 .
drwxr-xr-x 108 xxxxxxxx staff 3672 Jun 7 12:49:46 2017 ..
-rw------- 1 xxxxxxxx staff 8 Jun 5 15:30:04 2017 blort
winscp>