WinSCP hooks up to the Windows shell behind "explorer.exe" opening sub thread which full almost all Antivirus programs. But if You are careful soon or later ( most probably ) You will found that something wrong is going on - especially when You found WinSCP thread working even when You didn't Use WinSCP at all.
Can you provide us with more details about your concern? It is difficult to respond to a generic accusation like this.
But anyway, WinSCP indeed hooks Windows Explorer. You can read more about it here:
The extension can be loaded into Explorer, even when WinSCP is not running.
On the other hand, it is just a hook, there's no thread running behind doing anything. So I'm not sure if this is what you mean. Is it?