[ ] Don't display Login dialog when the last session is closed.
Also, I notice that with the other option enabled ("Keep main window open when the last session is closed"), if I click the 'Close' button immediately after launching WinSCP (to get rid of the modal dialog), then the whole application still shuts down. So I would like to suggest that having that existing option enabled should also prevent the application from shutting down if you click 'Close' right at the start, just like it prevents the application from shutting down when you close all sessions.
Because I like to sometimes open my applications in preparation for using them later (so in the case of WinSCP, without having a modal dialog appear forcing me to log in to a site right away with no way to minimize main application window without dismissing the modal dialog), and because I like to leave applications such as WinSCP running even after closing all site connections, I'm suggesting making the options work like this when enabled:
[X] Keep main window open when the last session is closed
(keeps the application running when closing the last session, and also keeps the application running when closing the Login dialog immediately after application startup)
[X] Don't display Login dialog when the last session is closed
(doesn't display the login dialog immediately after launching the application, and also doesn't display the login dialog after closing the last session)