I also think there should be a Double-Click option for Download/Upload, which I believe is very common in FTP clients.
There is. See:
https://winscp.net/eng/docs/ui_pref_panels#double-click
I see that using the "Copy" option provides the Download/Upload double-click functionality that I was looking for, but I would suggest modifying the label to "Transfer" or "Upload/Download" as it was clear that Copy would trigger a Download/Upload.