I asked for this long ago.
https://winscp.net/forum/viewtopic.php?t=7579
This is now implemented:
https://winscp.net/tracker/1773
https://winscp.net/eng/docs/extension_archive_and_download
The extension will be included in 5.16, but you can manually install it to the current 5.15.
https://winscp.net/eng/docs/ui_pref_commands#extensions