Thanks for your report.

This bug has been added to the tracker:
https://winscp.net/tracker/1464

In 5.9.2 .NET library
If the same Session() is used with multiple SessionOptions() and one of the ScanFingerprint() throws an exception, the e.Message will contain logging from the previous connection.

e.Message Result:
================================================================
winscp> option batch on
batch on
reconnecttime 120
winscp> option confirm off
confirm off
winscp> option reconnecttime 120
reconnecttime 120
winscp> open "ftp://xxxxx:xxxxx@xxxxx:21" -passive=1 -timeout=15
Connecting to xxxxx ...
Connected
Starting the session...
Session started.
Active session: [1] xxxxx@xxxxx
winscp> pwd
/
winscp> exit
Secure session (SSH or TLS/SSL) not specified.
=================================================================

"Secure session (SSH or TLS/SSL) not specified." is the only information I expected from e.Message. Anything before that is from a different SessionOptions(). Also, if it continues happening it will just keep adding to the e.Message and will end up with multiple "Secure session (SSH or TLS/SSL) not specified."
I haven't been able to replicate it on other methods.

Not sure if a known issue. Just thought I'll let you know about it.