When I updated my WinSCP beta recently, I noticed that the jump list stopped updating. I'm not quite sure why it stopped, but clearing out the value "JumpList" from the key HKEY_CURRENT_USER\Software\Martin Prikryl\WinSCP 2\Configuration cleared the jump list, then recent sessions would be added to the jump list. I was unable to find this issue via Google search, so hopefully this blog post makes its way to some other searchers having the same problem.
As a side note, the jump list items did not seem to be stored in %AppData%\Microsoft\Windows\Recent\AutomaticDestinations, only in the registry. But if you have jump list issues with other applications, check that folder. Each file in that folder is the jump list information for an application, if you can figure out which one belongs to your application you can try deleting it (it is safe to move the files out of the directory to remove but "back them up" then move them back in to restore so you can figure out by trial and error).