It is implemented for a while already:
Issue 410 – Deterministic paths to temporary mirrors of remote files
https://winscp.net/eng/docs/ui_pref_storage

This would be really helpful!

Not a bad idea. Maybe if more people find this useful... :-)

How about instead of opening the file locally in scp98765 folder, copy the folder structure of the FTP box?

Lets say the file is in /usr/local/bin/test.txt of devbox machine
Open the file in local c:\winscp\_devbox_\usr\local\bin\test.txt

Note: The underscore is just to note that its a machine name.