It's as designed:
https://winscp.net/eng/docs/commandline#operations

Use /edit to open a remote file in WinSCP internal editor.

There is a ftp with a bunch of folders (domains). The folder structure is the same and I need to open the files in Sublime Text in the same window. For example:

/home/domains/test1.com/index.php
/home/domains/test2.com/index.php
/home/domains/test3.com/index.php
/home/domains/test4.com/index.php
/home/domains/test5.com/index.php

Found such a solution:

winscp.exe sftp://user@test1.com/ /edit /home/domains/test1.com/index.php

but it opens in the native editor and in separate windows.

In the settings of the default editor is Sublime Text, but still opens up in native editor.
OS: Windows

Thanks for help.