WinSCP does not do any magic (like some other clients do). It uses encrypted connection, if you choose to use it, and vice versa. So actually, there's no need for any indication. You know what connection type you have selected.

But it is there: The color of the lock in the icon. A gold color means an encrypted connection. I've documented it now:
https://winscp.net/eng/docs/ui_authenticate#lock

When logging in, a password prompt appears at the bottom of the login dialog, but at that moment there is nowhere to see whether the connection is secure or not and whether it is safe to enter a password or not.