I also have the similar issue: on several windows and linux hosts copied 1 large file from the same sftp server via 1Gb lan:
fillezilla v3.20 @ windows 2012 : ~32 MiB
scp @ debian8: ~33 MiB
WinSCP v5.91 @ windows 2012 : ~16 MiB (scp or sftp mode - no difference)
pscp @ windows 2012 ~17 MiB (scp or sftp mode - no difference)
WinSCP is very useful in scripts, so it would be great to find a way to speed it up.
scp in Cygwin works as great as in Linux