Do not throw an exception when a remote directory/file does not exist

WinSCP throws an exception if a remote directory doesn't exist. Is it possible to get it not to do so and just ignore the situation and not to download without exit code 2?

Do you mean that you call get /non/existing/directory/*?
You can use option batch continue.
See https://winscp.net/eng/docs/scriptcommand_option#batch