Yes, you need both:
https://winscp.net/eng/docs/library_install#installing

The .dll talks to .exe process using internal protocol. So the .exe (as the extension suggests) is not used as a library (what would have impact on the licensing, given the fact WinSCP is licensed under GPL).

Hi,

I am using winscpnet.dll and winscp.exe for doing SFTP related operations in my web application. To use the dll, it is required to install winscp.exe in our production machine. As both fall under different licenses, I am required to explain how the dll and exe interact and linked to our authority. Could you please help me out in this regard?

Thanks,