This should be done before any of the transfers occur. Otherwise, the user has to sit and wait for each of the transfers to complete before being asked what to do with the next file.
If the user is asked about each file (individually) before the transfers begin, then the user can work on other things while the transfers are processed.
Of course, one could click on one of the "For All" buttons, but what if the user wants to perform different actions on the different files?
WinSCP should know in advance if a local file exists that would be overwritten by a successful transfer, and so it should be no problem to ask the user what he wants to do in each case.