When deleting a local file, holding down the Shift key usually (ie, in Windows) means delete the file immediately without using the Recycle bin. In WinScp this works fine when using Delete on the keyboard, but doesn't work when using the right-click menu and selecting Delete.
This was fine in my (rather old) previous version 5.1.5 of WinScp, but seems to be incorrect in 5.5.1 and 5.5.2, where the shift key has no effect, it always goes to the recycle bin.
My O/S is Windows 7, and the connection, protocol, host, etc would be irrelevant.