I do following
1. startup WinSCP
2. select a Stored Session
3. Click Login button - a screen opens with header "Password", message "Prompring for credentials..."
4. Type in the password on the Password field
5. click OK button - then the server connection establishes well shoing client and server folders.
Then I continue as previously descibed:
6. I go in menu Session > Save Session - the Save Session As... screen opens
and the checkbox "Save password (protected by master password)" is disabled
-- Did I miss the login dialog?
-- Apparently it does not work if you Save As a previously stored session. I don't see a reason why we should not be able to do it...
-- When I create a new session and then save as, then the checkbox is enabled...
It is disabled, when you have not specified any password on the Login dialog.