While there is already a similar option for regular transfers done through the WinSCP GUI, it doesn't seem to apply to transfers of documents that are being edited.
This feature could be implemented one of two ways. First would be to have the existing sound notification option also apply to locally edited document transfers. This would be the simplest and would work for me personally. Second would be to include a separate sound notification option, since some people might want sound for one but not the other kinds of transfers, or might want different sounds, eg; very loud sound for large foreground transfers that you might walk away from, and less annoying sounds for locally edited file transfers, since you're obviously sitting right there.