I have created folders inside the WinSCP Login pane, these folders keep the session info for groups of servers.
If I try to create a Shell Icon for any of the sessions inside a session group folder, I get an error that the icon cannot be created.
Folder "test", session "test_admin"
It seems that the error is caused by trying to create an icon for session "test/test_admin", and the slash char inside that is an invalid char in a link description.
Creating a Shell Icon for sessions outside any session group folder is still OK.