Very useful option as for me. I have it always 'on' – no more need to setup key auth! :)

Another option would be that WinSCP passes its password to PuTTY, even if it utilizes stored session of PuTTY without an password.

Sorry for disturbing, prikryl. I've managed to learn more documentation. Now I use PuTTY with key auth

Sure I've tested this feature first of all. But – sorry I haven't mentioned before – PuTTY doesn't store sessions' passwords while WinSCP does. I'm working with large list of servers most of which have terrific passwords (10 – 15 chars long with spec. symbols). These passwords are impossible to remember or type without mistakes. In PuTTY's turn it doesn't even support Clipboard paste command. Anyway typing long passwords is really annoying...

Thanks a lot

You can use function Open in PuTTY.
https://winscp.net/eng/docs/integration_putty#open_putty_current

I realize that WinSCP is first of all SFTP client and FTP client so WinSCP does really great! But when I'm working on remote files via SFTP I use some remote command line commands. WinSCP has its terminal window but this terminal's functionality is limited, so I have to use another software for SSH sessions. But I like WinSCP and would like to use it instead.

Don't you plan to develope a full-standing terminal window in addition to file client?