Thanks for your report.
I have sent you an email with a debug version of WinSCP to the address you have used to register on this forum.

<Try to describe precise steps that lead to the problem (where do you click, what keys do you press, what do you see, etc.)>
I am trying to connect to a server which is down, not reachable.
When i want to close the connection window, i got that "invalid access to memory" .
<If relevant, consider attaching a session log file or a screenshot)>

WinSCP 5.14.2

Error message:
Invalid access to memory.

Stack trace:
(007EC375) FileTimeToDateTime
(008FA79A) TSessionLog::DoAddStartupInfo
(008FC802) TActionLog::Add
(008F95BC) TSessionLog::DoAddStartupInfo
(0008341F) ntdll.dll

I know how to reproduce the problem or the problem happens frequently enough. I wish to be contacted by the WinSCP team to help resolving the problem.