If i connect to non existing site (or i enter the wrong site address or if the site goes down) WinSCP tries to search for the host. If i now press the red X in the upper right corner the window close, but now i get a spinning wheel cursor. As soon as the focus is on WinSCP the spinning cursor is back. It won't go back to an arrow until i restart WinSCP.
First of all you need to have more than one working connection open already (this could be the reason you didn't manage to reproduce it?).
Open a new session and connect to an address that don't exists.
When it tries to connect, press the red X to close the window.
You should now get the spinning cursor (busy).