I have a portable version of WinSCP. After unzipping the archive and moving it to C:\Program Files (x86)\Dev\WinSCP it turns out that when I run the WinSCP.exe file, it does not have permissions to write to its WinSCP.ini file, that sits in the same folder as the application.
I can probably solve this temporarily by running WinSCP.exe as an Administrator, but this feels like the wrong approach in the long run.