This is likely caused by folder redirection feature of Windows Vista and newer. You do not have a write access to
C:\Program Files(x86)\WinSCP\Putty. When using redirection-inaware application (such as PuTTYgen), Windows redirects writes to system directories to user profile folder. Files created this way are only visible from other redirection-inaware applications. This is not a case of WinSCP nor Windows Explorer. Make sure you generate your keys to a folder you have a write access to. Or run PuTTYgen as admin.