You do not have to use the synchronization. Even a regular file transfer (upload/download) supports file masks.
https://winscp.net/eng/docs/ui_copy#transfer_settings

Figured it out, apparently the filtering only works while browsing through the folders, and does not affect transfers at all. In order to filter transfers, you apparently have to use the synchronization tool, which has a filter section that DOES work for transfers.

I have been tasked with downloading code from a client site that is many years old. I do not want images, audio or video files, so I created a filter set to ignore those files, and they no longer show up when I am navigating through the myriad of folders on the site, but these files STILL DOWNLOAD when I try to copy the main folder to my local machine! There are tens of thousands of images, audio and video files throughout the site, in different folders, and I don't want them downloaded as I do not need them at all, and they just make the download take way too long (Talking DAYS here) How do I get this to work?