It's a bad idea to have that folder set by default. Nobody working in a half decent project stores anything in "My documents". Even amateurs have learned to avoid using it because Microsoft systematically deletes that folder with updates.
And yes, it can be changed, MANUALLY for every site you want to store in the manager. So you have to fight against winscp to change the default folder every time you visit a site.
And changing where My Documents point to another folder using regedit is not a solution in this case. And why should it even be considered a solution? Just imagine any total commander interface that did not allow to set a default start folder or remember last folder used. And that the recommended option by the program coder is using regedit changing where Windows folders point in the whole Operating System, despite Windows deleting that folder.