I am running on a desktop. Please stand by on this one. Some testing at work results with different responses. Work computer is doing what is expected. But with out an ability to abort the finishing action.

I tested sleep, and shutdown at work. Need further testing to confirm possible problems.
Will return to subject after solid repeatable failure.

Do you mean that you instructed WinSCP to Shut Down Computer once operation/transfer is done?
https://winscp.net/eng/docs/once_done

But it does NOT do "ungraceful shutdown". I do not even think, it is possible for a Windows application to do "ungraceful shutdown", even if it wanted to. Can you reproduce the problem?
Haven't your computer ran out of battery while transferring instead (or similar)?

By accident I selected turn off PC, instead of close WinSCP. Without any warning, the PC of course turned off. I thought I had a serious problem. Did not expect the turn off.

I then realized what happened later. The ungraceful shutdown caused corrupt files and recovery mode on next boot. I was able to find and fix the corrupted files. Recovery on reboot was scary, but nothing boot wise corrupted.

The turn off PC option requires: 1 a warning and input timer to abort. 2 Graceful shutdown, not a hard turn off. In the MSDOS days a hard turn off didn't matter.