Re: i had to google WinSCP session manager to figure this out.
Please change session-->"new session" to session-->"manage sessions" soon..?
As an experienced filezilla user I could not find where to setup my sessions -- ended up here after a google.
There's Session > Sites > Site Manager since WinSCP 5.2 (see the link to the tracker above). The command is actually identical to Session > New Session. It's there for people who look for "site manager", just like you.