This is actually not the default behavior. If you do not like it, revert to the default in Preferences:
https://winscp.net/eng/docs/ui_pref_commander
The option is Explorer-style selection (the default is Mouse only).

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Hi Martin, Joe Clarke here, long time user, occasional donor – jclarke@independentreach.com. In the two pane view, the file selection on the left side acts in a non-standard way: if you hold Control or Shift key and highlight multiple files, it works as expected, but then if have neither Control or Shift depressed and click another, unselected file, the Windows user expects that to become the new only selection. WinSCP for long time has erroneously kept the previous selections highlighted. My workaround then is usually to go up a folder and come back to clear selections. Just verified this behavior with 6.1.2.