File does not exist or does not contain private key ...

When using FTPeS this type of warning appears

"File './keyfiledir/keyfile.ppk' does not exist or it does not contain private key in known format."

The addressed file was deleted recently (using WINSCP stored session GUI) but so too was the stored session which linked to it.

Why is WinSCP looking for a PPK file which is not linked to the FTPeS session info and is not linked to any stored session?

How to make WinSCP forget the deleted PPK file?

It has to be referenced in the stored session you are trying to open. Please double-check.

Click Edit instead of Login for the stored session you are getting error with.
Then check the [i]Private key file[i] box:
https://winscp.net/eng/docs/ui_login