Now that's what WinSCP did when asked to display the content of the enclosing folder: It froze, gave an error sound on any mouse click and got in some zombie state. Although it didn't react to any input any more, when asked to terminate, it still showed its own termination dialog (not the task manager asking to terminate the task).
The problem is that no one tells the user that these special characters are the cause of the problem. So I spent a few hours trying to find out what happens, including searching this forum, and installing alternative FTP clients. As those don't get confused by this, there should be a way to handle the situation more gracefully.
I'm surprised that no one appears to have met this problem yet. Backslashes in Linux file names happen when storing paths in Windows style (abc\def\ghi.xyz). Linux doesn't recognize the backslashes as path separators, but takes them as part of the file name instead.