Thanks for your report.

I have added this issue to the tracker:
Issue 2466 – Temporary directory structure for edited remote file reflected the current remote directory path rather than an actual path of the edited file

I'm sending you an email with a development version of WinSCP to the address you have used to register on this forum.

WinSCP v6.5.7
This is the first time I tried this.
Using the GUI, Explorer

I have a remote path and file that I want to open for editing without having to navigate and click on the file. The file already exists. Here's an example:

Current remote path open in Explorer:

I used the Shift+Ctrl+E shortcut and pasted the path and filename.

Results:
The remote file opened as expected, but was downloaded locally to what was the equivalent current remote path in WinSCP:

I edited the file, and when I saved it, it updated the file in the correct remote path the file lives in.

No loss of data, but the local filesystem has a copy of the file under the wrong path now. Confusing, and worrisome.