Are you referring to deleting local or remote files (or both)?
Windows shows recycle bin only when "recycling files". When really deleting, it shows red cross (over sheet) too.
Recycling is not really relevant to deleting remote files.
It general Windows the explorer shows a different icon in the dialog when using shift + delete vs just delete.
But in WinSCP it always shows a red delete cross so its not clear file is going to recycle bin.
So I would like WinSCP to behave the same as Windows Explorer.