Do you know if sending NULL packets to keep a connection alive functions properly? Sometimes when I don't do anything for a short while, the server kicks me off. It does that sometimes when I'm working, too (I'm using a very, VERY cheap hosting company :-)) so I'm not sure if it's a bug in WinSCP or not. However, it seems to happen more often when I'm not working for a while, that's why I'm wondering if it's a bug.
NULL packets are just hint to the server that the client is still running. The server may ignore them anyway. Sourceforge server (where WinSCP is hosted) does the same (not for WinSCP, but for interactive SSH session). However, when I have the option turned on, I may leave the client alone for longer time than without it.