I cannot reproduce your problem.
The winscp.exe process is added to the parent process "Windows job".
When I kill the parent process (the one using the WinSCP .NET assembly), the winscp.exe process is automatically killed by Windows.
What IDE are you using? What version of Windows? Can you share a simple project that reproduces your problem?

I'm attempting to use the WinSCP .NET assembly in a WIndows Service that we need to have. While, it's not yet complete, I've got an issue with several copies of WinSCP.exe *32 Processes becoming loaded on my development PC. It looks like every time that I stop to debug, and then re-start, a new copy of WinSCP.exe get spun up.
Question, Is there a good way to DISPOSE or remove the associated WinSCP.exe, when my Application Exits?