When WinSCP launches, it automatically brings up the Login window.
If you close the window by clicking on the X or clicking the Close button, the program exits and returns you back to Windows.
In this case, I think that the user should be brought back to the main window, where other options are available.
If users are used to the existing behaviour, this could be controlled via a preference.
This is occurring with the latest version of WinSCP, version 5.13.4.
Let me know what you think.