Sidenote: using masks slows down the download progress incredibly! It doesn't seem to filter out the required files in smart way, that is too bad :(.
Can you please post a session log file both with and without the file mask?
An other thing is that it locally creates every directory that is above your remote path you had set as your download location, even though these directories then will be empty when they were in the exclude mask.
Can you again post your complete script including the mask? And mention what local directories WinSCP has created that you believe it should had not.