Referring to deleting local files only.

It general Windows the explorer shows a different icon in the dialog when using shift + delete vs just delete.
But in WinSCP it always shows a red delete cross so its not clear file is going to recycle bin.
So I would like WinSCP to behave the same as Windows Explorer.

Are you referring to deleting local or remote files (or both)?
Windows shows recycle bin only when "recycling files". When really deleting, it shows red cross (over sheet) too.
Recycling is not really relevant to deleting remote files.

For the delete file dialog put a recycle bin icon instead of the red X icon. Make it the same as Windows explorer behaviour.