WinSCP already warns for files over 100 MB. I've added a request to make the threshold configurable to the tracker:
Issue 2437 – Configurable warning when opening large file in an internal editor
You can vote for it there.
Though maybe it would be better to allow cancelling the loading (though more difficult to implement).

Sometimes I forget that I am staring at WinSCP instead of the Explorer and double-click a big local file (like, a Video or some other multi-megabyte stuff). Then I have to wait, watching my computer suffer, until the editor comes up displaying garbage and I can close it again.
I would appreciate a setting (probably per editor, i.e. in the "Edit editor" dialog): "confirm before opening a file bigger than (kilobytes, 0 to disable)": where I could set like 100kB.
Beyond that size, a dialogue would pop up "do you want to open this file in <editor> Yes/No" to which I can just say no after a mis-click.
Thank you.
(I did not check all pages of the Feature Requests forum, only the last 5 years or so, apologies if this has come up earlier.)