To use the public key authentication in WinSCP or PuTTY, the key has to be either in their session settings or loaded to Pageant. There's no other way. If you believe you can login without doing either, please post a session log file for that.

I had created a key via the Puttygen application itself (not through WinSCP) and connected via putty successfully. My issue is when I connect via SFTP through WinSCP it doesn't seem to be using my key, but I'm still able to connect!

When I go to my Site-name -> Advanced -> SSH -> Authentication, the "Private key file" is blank. What gives? What if I want to use another/backup key to login? I can't find where WinSCP is accessing these keys.

Possible bug:
When I first created my key set and connected via Putty, for some reason I was able to login without inputting my key under "Authentication" and Pageant. When I added the key to Pageant, and removed it did it not work anymore.

2020-08-28 20:42:13.351 User name: cb (Password: No, Key file: Yes, Passphrase: No)

Using version 5.17.7 (Build 10640)