The master password just protects the saved passwords in WinSCP. So you get prompted for the master password, once WinSPC needs to decode any saved password only. If you do not have any saved password, you will never be prompted for the master password.
See https://winscp.net/eng/docs/master_password

Version 5.7.3 (Build 5438)

I created and enabled a Master Password in Tools > Preferences > Security. I didn't enable the session password checkbox. Then I restarted the application.

My assumption was that WinSCP would reopen with a password prompt, blocking access to the main screen - however it does not. I am able to open WinSCP and access my various sites, no differently than before I enabled the Master Password.

Please help me understand the purpose of the Master Password. Thanks.

EDIT: Additional information - I use the KeePass plugin "KeeAgent" to authenticate ssh. Now I wonder if this somehow conflicts with or duplicates the intended function of the WinSCP Master Password.