I cannot reproduce the problem.

I've connected SFTP session. Selected a flash drive in the local panel. Downloaded a file to the drive. At than point I cannot eject the drive. Then I've switched the local panel to another drive. And now the drive can be ejected.

Where do we differ? What protocol are you using?

Frequently, I have to copy files from some connection to an external USB-drive.
While there is no problem in connecting and using the external drive while WinSCP is already running, I always have to completely disconnect and close WinSCP to be able to disconnect the external drive again! That is quite annoying, having to restart WinSCP and reconnecting to all servers again!
The reason for this is WinSCP still holding a file handle to the drive's root directory, even if I've already switched to another drive.
I have no problems with other file managers (e.g. TotalCommander) which do never lock drives in the first place (when there is no actual operation running), so I expect this to be an issue of WinSCP. WinSCP should at least free the handle when I explicitly switch to another drive (and no file transfer is running to or from the drive in the background).

I've checked the most recent portable version (5.19.1). The problem is still there.