Detecting what the link points to, on a legacy FTP server that does not support MLST command, is not easy.
Anyway, you can vote for this feature in the tracker:
Issue 1207 – Support symlink resolving with FTP protocol when the server supports MLST command

1. Start WinSCP 6.5.5
   
2. Connect anonymously to any FTP server listed at https://launchpad.net/ubuntu/+cdmirrors. For example: ftp://mirrors.dotsrc.org/.mirrors/ubuntu-cd/
   
3. Navigate to the "24.04.3" folder (or any version)
   
4. Note that there are various directory items with the link arrow.
   
5. Double-click on a linked directory, e.g. ubuntu-24.04.3-desktop-amd64.iso: the server will respond with an error such as "Failed to change directory."

The error is because the item is unsurprisingly not a directory but a file. You can view the path in the Properties window of each item, and it will be something like "../.pool/ubuntu-24.04.3-desktop-amd64.iso". If you navigate to this location manually you can download the file as expected.

I would be tempted to write this off a server configuration error if it weren't the same for ALL Ubuntu mirrors. It seems unlikely that something this obvious would be broken globally on the server side.