Sometimes the external editor manages to read the file before WinSCP deletes it (although then there's no copy on disk); sometimes the editor doesn't get there in time and ends up opening a new document with that filename. In either case, since the editor has a file open in that temporary directory, WinSCP puts up an error alert about not being able to delete the temporary directory.
WinSCP doesn't notice when the file from the editor has been saved.
Current setup: WinSCP 3.1.0, build 165. Windows 2000. Using TextPad as an external editor.