Thanks for your suggestion. We will consider it.

Meanwhile, you can set up the tunnel in PuTTY:
https://winscp.net/eng/docs/guide_tunnel#tunnel_putty

In case you are working in a protected network with no connection to a needed WebDav server you can still access this server using the tunnel feature that is only present in SCP and SFTP connection but not present in the other one (FTP, WebDav...).
It would be nice to have this feature on all connections even better to have the possibility to run all connections trough a tunnel.