I am using Windows 10 and Wincsp 5.7.5.
I generated and saved the keys. When I try to authenticate my private key file Winscp does not see the key file I saved. I can't even see the file when I look at the folder I saved then in with file explorer. Not even looking with Window Powershell. When I open up the file explorer icon on the bar at the bottom of the desktop I do see them under recent files. But that is the only way I can see them. Although Putty does see them. But I need to load them for Winscp.
It's a Windows "feature" called file virtualization.
Note that you do not have a write access to "Program files" normally. Most modern applications will not allow you to write files there. But as PuTTYgen does not disable the file virtualization, it won't error when you attempt to write to "Program files". Instead the file is written to a "virtual store" (VirtualStore). The application that disable the file virtualization (like Windows Explorer or WinSCP) won't see the file.