WinSCP - How to Zip, Download and Delete a file?

There's no way to ZIP files over any file transfer protocol (SFTP, FTP, SCP or WebDAV). That's why there's no such function in WinSCP, as it cannot be implemented reliably.

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Though, if you have a shell access to the server, you can use a shell command to ZIP the files. That's actually, what the Tar/GZip custom command does.

If you want it in one-go (zip-and-download), there's now a WinSCP extension that does exactly this:
Archive remote files to ZIP archive, download it, and optionally extract it.