Most SFTP servers do not actually support text/ascii transfers.
With them, WinSCP emulates the text/ascii transfer by doing conversion on its own.
With FTP protocol, WinSCP relies on the FTP server to do the conversion. Yours probably does not.
If you me to check further, please post log file.

Dear Martin,

As I said several times – I'm very pleased with the WinSCP that you have made. And before posting the question I should again emphasize that I'm not specialist in the peculiarities of the different protocols and the question would probably sound a little bit stupid but......
So now to the question and remarks – I'm using WinSCP mainly to transfer LINUX-produced ASCII files and during that transfer I'm using mainly SFTP protocol. Using that protocol one can add in that shell option transfer ascii and during the transferring process to the ASCII files are added CR symbol for DOS ending.
Today I tried the same option with FTP transfer. Although it is written in the console window "ASCII" to each of the transferred file, after the files are transferred they are not with DOS endings but remain with the LINUX ending. The question is this normal? And if it is OK – the next questions is there any way during the FTP transfer WinSCP automatically to add CR symbol?

Regards,
Georgy