However, if you minimize to the taskbar, switch virtual desktops and back, and then click on the taskbar WinSCP, it is ok. Please note (if not clear from this description, that MSVDM's "Shar Desktops" is unchecked (I don't know if this has any affect or not).
The taskbar is "Locked" as well, if that makes any difference.
Please note that there is a similar issue with Microsoft Excel 2003 SP3 where the menu bar goes away under the same circumstances unless minimized first. It is only Excel and none of the other Office Suite or any other program I run that has this problem.