WinSCP GUI can generate such code for you:
https://winscp.net/eng/docs/guide_automation#generating

And actually, you can use this code:
https://winscp.net/eng/docs/library_session_getfiles#powershell

Just pass $True to third (optional) argument (remove) of Session.GetFiles.
https://winscp.net/eng/docs/library_session_getfiles

I am trying to use the PowerShell script from this page:
Downloading all files from FTP/SFTP to the same local folder

But it is not pulling or going into the subfolders on my server.

How can I download all subfolders and files, and delete from the server any that have downloaded?

Thanks,
Jason...