While I get the dialog for valid reasons, if the dialog appears while the desktop is unattended for several minutes, the dialog apparently cannot be closed upon return. Neither the "Abort" or "X" buttons appear to do anything. Either they don't close the dialog, or another identical dialog immediately appears in its place. The only possible way to continue is to kill the WinSCP.exe process.
It almost seems as if the code that checks for if the dialog should be displayed continues to check and spawn additional dialog display calls, even if the dialog is already being displayed.
In summary, the "Abort" button actually needs to "Abort" in all cases.