Okay, it looks like it does work.
I have been trying to troubleshoot this from the WinSCP dashboard, and that is why I was complaining.
However, I needed to run some scripting with this file and I went to that instead and it worked just the way I wanted it to. I watched the data transfer via the command prompt. The dashboard didn't reflect what was happening.

I forgot to mention that I am using FTP not SFTP

I am trying to move files from the remote directory to the local directory. When I open the "synchronize" configuration window, I select "local" and "synchronize" and the remote directory changes. When I select "remote" and "synchronize", the remote directory changes. There is no change in the direction of transfer regardless of which way I set the synchronize direction. What am I doing wrong?