Now I know this. But my suggestion is to, by default, save at "%TEMP%\WinSCP\!S.log". I don't see a problem in it!
And speaking in problem. When I change this path WinSCP is giving an error if path doesn't exists! WinSCP could create the path if it doesn't exist!

WinSCP is creating log files, where you tell it to:
https://winscp.net/eng/docs/ui_pref_logging

WinSCP is creating log files on temporary folder. But temporary folder has too many files!
I suggest to create a folder "WinSCP" into temporary folder to allocate log files.