Sure I can have two sessions but it is not so comfortable as my suggested checkbox. And I have got a lot of saved sessions so just image that I would double them :|

Why can't you have two stored sessions instead?

Let me explain my situation. I am using WinSCP on notebook and my problem is that at school I have to use proxy but not at home. It would be good to have a checkbox in proxy setting which will give us a possibility to tell WinSCP: "Hey try to connect with proxy at first (at school) and if that fails try direct connect without proxy (at home). I have seen it implemented in Rainlendar2 and it works great.

It would be possible to add this feature to WinSCP ?

PS: If it is already implemented pls tell me where :)