OK :-)

Even more, it could be helpful if winscp could autostart an additional connection every time it establishes one. For example it would be useful for "duplicate session" command.

Yes, this would really a great impovement.

WinSCP uses second connection when opening console and some other features. So after pressing "open console" you need to wait until a new connection is established.

Can't it be optionnally enabled (in "connection parameters" dialog?) to automatically create secondary connection (after first one) in background. That would be nice improvement.