This may not be good default behavior.
1. A new session option: limit Pageant tries to the first  available keys
2. A new global option: [off] skip Pageant if Private key file not specified (overrides session option "Attempt authentication using Pageant").
3. A different UI for the session option SSH/Authentication:
Authentication options * Attempt TIS or CryptoCard Authentication (SSH-1) * Bypass Authentication entirely (SSH-2) * Attempt 'keyboard-interactive' authentication (SSH-2) ** Respond with password to the first prompt Authentication key * Private key file * Attempt authentication using Pageant * Limit Pageant attempts to the first  keys currently loaded, if key file above blank * Allow agent forwarding GSSAPI ...
I have many SFTP accounts, so my workaround was to use a script to edit WinSCP.ini, adding the line