OK, I see. Unfortunately, I didn't find a way.
I've posted a question on Stack Overflow:
https://stackoverflow.com/q/49507194/850848
(please consider upvoting it to bring it some attention)

I know it's supposed to be created as part of the build step. This is a problem because I was generating it as an embedded resource, and this is no longer supported. I do not want a copy of WinSCP in my project folder; I want to generate it at runtime. I will continue to use 5.11.3 until this is resolved or a workaround is proposed.

It does include it. It's just no longer shown in the VS Solution Explorer.

I updated my NuGet package from 5.11.3 to 5.13.0, and it erased WinSCP.exe from my project. I have several projects using the NuGet package, and this happened on all my projects the same.