I am using WinSCP ver. 5.7.2 (build 5316) on Windows 7 Professional 64-bit. The problem to be described happened using SCP protocol, WinSCP in Commander mode.
I have been downloading from remote server to removable media on local PC, namely SD card in the card reader. After download complete, I have selected local hard drive in local panel of Commander, i.e. removable media drive was not selected in Commander any more. Then I clicked "Remove hardware and media" icon in windows system tray to eject the card. The system reported media could not be released, because it was used by another program. When I closed WinSCP, the media could be ejected without problem. So I believe WinSCP was locking removable media, though it was not selected in the Commender. Wish it not.