I am able to define the proxy server by using the WinSCP GUI. If I do this I am able to connect to a remote host. But in code I don't find a way to declare the proxy server for WinSCP.
In this case I receive
Remote server returned an error (407) Proxy authentication required.
My code:
SessionOptions sessionOptions = new SessionOptions
   {
       Protocol = protocol,
       HostName = hostname,
       UserName = user,
       Password = pass,
       PortNumber = portnumber
   };
using (Session session = new Session())
{
    session.ExecutablePath = @"C:\Program Files (x86)\WinSCP\WinSCP.exe";
    session.Open(sessionOptions);
    TransferOptions options = new TransferOptions();
    options.FileMask = mask;
    SynchronizationResult synchronizationResult;
    synchronizationResult =
        session.SynchronizeDirectories(mode, local, path, deletefiles, options: options);
    synchronizationResult.Check();
}
 
    