Ah. There it is! I was looking under Options>Preferences. It was off by default on my install.
Off by default on mine, too.
For me, there is an extremely practical reason to be concerned with the disconnect popup...I am a web developer, and edit files remotely through winscp and ultraedit. When I'm editing a file for too long, winscp would lose the connection and pop up would occur. Then when I hit save in UltraEdit, the file does not get transferred to the ftp site.
This means I have to watch for the disconnect popup, then click reconnect, or else my changes mysteriously stop showing up on the website, until I realize what's gone wrong.