If I move RSA to the top of the list, why don't I see the ssh-rsa 2048 key instead of the ssh-ed25519 256 key.
It shows: WinSCP shows: ssh-ed25519 256 ff:2e:5e:33:7a:15:de:69:18:cf:82:ae:f0:4e:7b:d2 (when I click "Session", then "Server/Protocol Information"). Is this thumbprint not related to the above key exchange algorithm options?
This is a follow-up to this thread that I started: Convert Ed25519 to RSA fingerprint (or how to find SSH fingerprint)
Key exchange algorithm and host key algorithm are different things.
WinSCP does not have a configuration option to select host key algorithm.
Though, there a hidden raw session settings HostKey
to configure the host key type priority.
Since WinSCP 5.16, you can configure it in the GUI. For details, see the answer by @Joeri.
Alternatively, you can configure site with preferred host key algorithm in PuTTY and import the site to WinSCP.