The difference is not being able to use File | Open to open a remote file, which means you don't need to switch out to winscp to find your file. That would definitely be a more integrated, elegant way of opening remote files. That said, driving it from winscp really isn't a particular hardship, but having also used editors that do have it native, I can see the desire for it as an integrated feature.
We've gone through something similar at work, where we provide the ability to read FTP and WebDAV as though they were local files. It's a hairy area, because as soon as you add "File | Open FTP..." to a menu, people expect to be able to do everything they can do with local files with remote files. So, people would expect projects to index FTP servers, and auto-reload when a file changes on the FTP server, and so on.
This opens up a whole mass of possible 'file providers', though -- if jon writes FTP, why not WebDAV? Personally, if there were some custom interface available, I'd be tempted to do one for wikis, so that you could open a wiki page as a file. It's a surprisingly large amount of work to do it 'right'.