After consulting with author of Kerberos implementation, it seems that you ask for feature that is available in Putty under name Allow Kerberos 5 ticket forwarding in GSSAPI/SSPI. Is this what you ask for?

I have forwarded your request to an author of Kerberos implementation in WinSCP.

Can the option be added to allow GSSAPI delegation of credentials when GSSAPI authentication is selected ?

Right now, WinSCP doesn't actually delegate the credentials to the server, which means it does not have a ticket on the server side for the user. This breaks things like AFS, which need the ticket to create a token for user authentication.

OpenSSH, when patched for GSSAPI/Kerberos, allows this, as does the patched versions of PuTTY floating around.