Thanks for your suggestion.
We will see, if more people ask for this.
Though, to be honest, this is very unlikely to get implemented.

TotalCommander supports entering archives (zip, gz, rar, other popular formats) via Ctrl+PgDown button.
It will be very usefull to support similar ability in WinSCP, because my regular case is follow: enter server via ssh, find necessary jar-file (zip format), and try to read manifest for neccessry information.

Thank you!