It does not attempt to close the application. There is "disconnect when operation finishes", not "exit when operation finishes". You may have several sessions opened. You hardly want to close all, when operation on one of them finishes. Let me know your opinion.

In a dialog window for a file transfer a check-box "Disconect when operation finishes" tries to close WinSCP application at the end of the operation, but with an information window. Maybe more friendly behaviour will be to disconect and close WinSCP without this information, if all was ok. Or add a check-box to inform of finished job...

Best wishes