It seems that you are connecting with FTP(S).
FTP(S) uses TLS/SSL, not SSH, so you need to set GiveUpSecurityAndAcceptAnyTlsHostCertificate.
https://winscp.net/eng/docs/library_sessionoptions#giveupsecurityandacceptanytlshostcertificate

Hello All,

I work with WinSCP in a closed enterprise network, so forcing users to enter fingerprints is a waste of time.

So I set GiveUpSecurityAndAcceptAnySshHostKey = true and when I try to connect, it throws an exception:

System.ArgumentException:
'SessionOptions.TlsHostCertificateFingerprint or SessionOptions.GiveUpSecurityAndAcceptAnyTlsHostCertificate is set,
but neither SessionOptions.FtpSecure nor SessionOptions.WebdavSecure is enabled.'

Setting FtpSecure = WinSCP.FtpSecure.Explicit, Implicit or None would not help, it still throws, same for WebdavSecure.
How can I bypass this issue?

Thank you.