Why is there no file detail in the queue list? If I select 20 files to transfer I get to see the files in process, but what about the files that are waiting?
This issue is being tracked already:
You can vote for it there.
If I were to go to the trouble of downloading each file individually, it starts transferring all the files at the same time, slowing all transfers.
WinSCP transfer at most 2 files at a time by default. You must have changed the defaults, if "it starts transferring all the files at the same time".
How does WinSCP decide the order of the files to transfer? It surely isn't alphabetically.
It transfers them in the order in which OS lists them. Which is (usually) alphabetical order.