I don't think you understood my question.

I know that the underlying process stops when the windows command window closes. However, what I want to know is exactly how WinSCP closes. When a command window is forced closed, Windows sends the application a close command but how does WinSCP respond to that command while in the middle of transferring a file? Does WinSCP close gracefully so that no files in the process of being downloaded are corrupted?

Afaik, closing the console window terminates any process running in that window.

If you do not want the console window to show, use WinSCP.exe.
See https://winscp.net/eng/docs/executables

I am running WinSCP in a windows batch file and I was wondering if it is safe to force the command window closed before WinSCP completes the tasks. Will WinSCP end gracefully and not fragment a partially downloaded file?