WinSCP does that with SCP protocol. With SFTP protocol, it can do only that the protocol allows, and it does not allow recursive setting of permissions. You can always use custom command for that.

Was using WinSCP today to do a lot of recursive file deletion and some file permission changes, and i noticed that when WinSCP does recurrsive functions is does each file individually. Why not use lunix's built in recursive functions like chown -R, chmod -R and rm -r ? Just a thought.