I fixed the issue for myself, but figure it's worth it for you to know that there's a lacking error check here.
I could create bookmarks fine, and they worked, and they survived disconnecting/reconnecting. However if i closed WinSCP and reopened/reconnected, they were completely gone.
Using Process Monitor i found that WinSCP was being denied access on keys like:
HKCU\Software\Martin Prikryl\WinSCP 2\Configuration\Bookmarks\Local\email@example.com
HKCU\Software\Martin Prikryl\WinSCP 2\Configuration\Bookmarks\Remote\firstname.lastname@example.org
While still having full access to these paths:
HKCU\Software\Martin Prikryl\WinSCP 2\Configuration\Bookmarks\Local
HKCU\Software\Martin Prikryl\WinSCP 2\Configuration\Bookmarks\Remote
Forcing the permissions to inherit allowed WinSCP to work fine again, however:
It would be good if WinSCP actually did access checks and informed the user, instead of trying to read those and silently failing.