1) Start WinSCP locally to start a transfer between a SSH host (right side) and a local folder (left side). File was transferred through the transfer queue at the bottom.
2) Now logon from another computer throught RDP (remote desktop connection).
3) WinSCP still works as normal - the file transfer is still going. However it is now not possible to change the local directory at all. Changing remote directory works.
4) Drag-and-drop a file from remote to local works, and it is possible to change the local directory in the popup.
5) Disconnect RDP, but it is still not possible to change the local folder. Only solution is to restart WinSCP.