I think I might came across another bug.
I have configured an external editor (Sublime Text 3). I'm using Windows 7 x64 with todays nightly build of WinSCP (the bug happens with the "stable" beta and yesterdays build, too!). All servers use SFTP as their method of communication.
To reproduce, open a SFTP session. then open up a file with Sublime Text.
Then: Open another session in a new tab to another server. When established, switch back to Sublime Text.
When you then change the text in the editor and save the file, WinSCP claims that it couldn't find the folder the file is in:
It seems like WinSCP tried to save the file opened on Server 1 on Server 2 and is then failing because the folder doesn't exist.