You can achieve more or less the same by saving the session
https://winscp.net/eng/docs/task_connections#saving

FEATURE: When you click on remote/local panel add a option on the rightclick menu to set the current/selected directory as the default directory. (now it is only adjustable at the settings screen)

So: when i click on local panel and click on "set as default directory" then the current/selected directory wil be set as default local directory. And the same for remote directory/panel.