It would be nice if WinSCP would also import the host key from PuTTY when the session is imported, or if a separate option could be added to import host keys. This would prevent users from seeing the warning message about the host key not being cached in the registry.
Instead of creating another separate window, how about just adding a check box in the existing window to also import the host key when the session is imported? Or, just automatically import the key without giving the user an option. I think this would be better than not importing the key at all.
Good point. I guess I hadn't thought it through. It seems like the simple thing to do would be to import all of the keys that the session is configured to use. In other words, if the session is configured to connect to host x at port y using SSH version 2, then grab only the SSH2 keys (rsa and dsa if both exist) for that host and port combination.