You can configure WinSCP logging here:
https://winscp.net/eng/docs/ui_pref_logging

But most helpful would be, if you try to connect with another SFTP client.

On the Leaf Bering forum I got this advice:

If you have ssh access to your LEAF box you can use winscp to copy the
files directly to your windoze box.

It was 2 days ago. But I read it yesterday. I read a bit about the SSH protocol. I saw the advice to use PuTTY. I installed it. Then I installed WinSCP. I haven't used such programs before. I don't know what the log files are called and where to look for them.

Can you connect with any other SFTP client?
If you can, please post its and WinSCP's log files.

The router is Leaf Bering uClibc. I can connect to it using PuTTY. Without problems. And using WinSCP I can't. I don't know what to check. Login in that session is authenticated and after that
I see "Optimize connection buffer size". Where to do it? And how? Calling PuTTY from WinSCP works too. Without any problems.