It would have to delete all shortcuts pointing to WinSCP. As WinSCP cannot regognize which shortcuts were created manually.
Agreed, asking WinSCP to track which shortcuts it created might not be reasonable.
Maybe just clear out any shortcuts that invoke WinSCP with a particular profile? It is a (small) bother when a "Send To" shortcut is created, and then the profile is deleted in favour of a new one so the "Send To" shortcut will not work any more. This would involve reading the properties of the shortcuts though. I assume that's possible but don't know what's involved.