It would be nice if the "Close" button was changed to "Cancel," and doing so discards any changes you've made in the dialog, and brings you back to the main WinSCP interface where you can pick another Stored Session.
For example if I'm copying the hostname of a Stored Session and press Ctrl+V by accident instead of Ctrl+C, I'm now left with one of 3 options:
Login (not what I want)
Save (definitely not what I want)
Close - which exits the app
None of these are where I wanted to go. There are many other mistakes I could make in the interface to carefully edited and entered settings that I might want to cancel out of to avoid screwing things up.
Since I can already Close the app from the X at top-right, change Close to Cancel and have it discard your info and return to the main interface.