You can delete the sessions and import them again. Also WinSCP have default session, from which all sessions inherit the defaults. So you can set your proxy on one place only.

The Tools | Import function to bring PuTTY sessions in to WinSCP is very useful.
May I suggest another feature?
A "Tools | Refresh" function, whereby changes in PuTTY sessions can be updated into the WinSCP equivalent.
Example scenario:
You have a PuTTY session (or sessions) that connects via a proxy server (which itself requires password authentication). You have changed your proxy server password, and have updated it in PuTTY.
Rather than having to go and update every WinSCP session too, when you use Tools | Refresh, WinSCP examines its sessions and compares against the PuTTY sessions, and any differences in existing sessions are identified and the corresponding session is checked. Click OK to actually perform the update.

Essentially this is a variation on the Tools | Import codelet.

Comments?