Uploaded files will, by default, land in the logged ftp user's home directory which is, by default, in RAM. Unless you do a backup before shutting down/rebooting, the files will be gone.
Regarding the changing host key, you can add that to your backup but I don't remember what file(s). Search the forums - it is probably mentioned somewhere. In any case, a changing host key should just make your ssh client bitch about it and disconnect but in the process it will also tell you what line to change (delete) in your known hosts file on the client PC (within your cygwin home directory).
If you use openssh instead of dropbear, you can use secure ftp instead of regular ftp, if that would be important to you. That also allows the mounting of your ftp home directory as a filesystem on a remote computer (see the sshfs-fuse-2.2.tcz extension).
If none of the above helps, come on back. I have worked through these issues even if I don't remember all the details right away.