Please, I have asked you what does it mean that you "open a file". OK, I suppose that you double-click it. Let me know if you mean somethink else.
If you double-click file (not directory/symlink to directory) in remote panel, WinSCP can do several things depending on configuration and server capabilities. It can try to intepret the file as symlink to directory in case it cannot detect if particular file is a symlink at all. This is the case for SFTP version 2 and older, what is not your case. It can do this also if you disallow it to resolve symlinks at all, by unchecking Resolve symbolic links on Directories tab of login dialog. Is this your case?
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