I was able to accomplish this with the newly released winssh-pageant tool. See: https://github.com/ndbeals/winssh-pageant

This request has been added to the tracker:
Issue 1682 – Support OpenSSH ssh-agent
You can vote for it there.

Though it's more likely to get implemented, if you ask PuTTY team to implement it, rather than here.
https://www.chiark.greenend.org.uk/~sgtatham/putty/feedback.html

dma_k wrote:

How access to ssh-agent is organized by client in Windows10 OpenSSH implementation? Via native pipe e.g. \\.\pipe\openssh-ssh-agent (from issue#207)?

Yes, I would assume so from this and other posts on GitHubt.

I vote for this feature as well. I doubt that PuTTY team will add support for another agent... there might be religious reasons why they have implemented their own.
KeeAgent plugin for KeePass is able to create Cygwin/MSYS sockets on Windows. Usually the path is exported via SSH_AUTH_SOCK environment variable. Would be nice to have a support for these sockets.

@janw: How access to ssh-agent is organized by client in Windows10 OpenSSH implementation? Via native pipe e.g. \\.\pipe\openssh-ssh-agent (from issue#207)?

Thanks for your suggestion.
Please suggest this to PuTTY team (WinSCP is using an implementation of SSH protocol from PuTTY).

Hi,
Microsoft will soon start to offer OpenSSH client and server (https://github.com/PowerShell/Win32-OpenSSH) in Windows 10 and Windows Server 2019 as native applications. Currently, a Beta version is available as an optional Windows feature.

I think it would make sense for WinSCP to support the OpenSSH key agent (ssh-agent) as an alternative to PuTTY's pageant.

Cheers,
Jan