Security vs. convenience. SSH stands for “Secure Shell Connection”, they prioritise security. A part of this means only automatically accepting connections from devices with the same SHA fingerprint as the last one that connected on that hostname.
So, theoretically, if you were to ignore this message then it could mean that you’re attempting to connect to a device that is masquarading as your intended device. Of course, you’re on a local network, and you likely have the device right beside you showing the correct IP address so you know it’s real.
The easiest solution is to just ignore the message for this case. The best solution would be to properly configure your SSH keys such that Batocera regenerates the correct ones expected by your client machine.
But here’s the real question, why are you using WinSCP to transfer files seemingly often? You don’t need such a secure connection if all you are doing is transferring ROMs to the userdata for example.