This bug has been added to the tracker:
Just tested on version 5.0.4 beta with no luck. Getting deeper into the problem I just discovered that problem is probably related to SFTP server (wrong umask used) rather than to WinSCP client. It seems that no chmod operation is performed after mkdir by default using different sftp client (and WinSCP behaves the same way).
In any case, thanks for the fix made in "Create folder" dialog. It's now a bit simplier for users to force normal permissions to be set from client side as a work-around.