I am having the same issue.
In Windows Explorer I can visually observe the local temp directory and file being created by WinSCP, then immediately deleted after it opens in Notepad++.
Using Notepad++ v6.6.6 32bit,
Have tried downgrading WinSCP from 5.13.3 to 5.11.3 – No change,
Tried every option in WinSCP Options -> Storage, problem persists with every setting:
--> System temp directory: same problem
--> Use This Directory: same problem
--> With or without "Append Session Name..."
--> With or without "Append remote path to temp path"
--> With or without "Keep temp copies.. in deterministic paths"
--> With or without "Clean obsolete temp directories"
At this point my best guess is Notepad++ is not sending whatever file in use signal WinSCP needs to detect the file is still being edited. I say this because the deletion behavior is identical to having WinSCP edit a document in Notepad.exe but then closing the Notepad window; (when Notepad is closed, WinSCP deletes the temporary file and directory).