What I posted is just a quick hack for “but I really need it right now!” situations. Because even if MikroTik adds the option to open different files with settings, you never know how long it’s going to take them.
Another option that comes to mind, is to completely forget WinBox Loader and its limited ability to store settings, and store them somewhere else. That might not sound like a very bright idea, because who should then copy it to WinBox all the time, when they want to connect, right? Wrong. 
Fortunately, WinBox Loader does support autoconnect, when you call it with necessary parameters (as was pointed out in this thread already):
winbox.exe <address> <username> <password>
So if your favorite password manager can execute external commands… bingo! For example, lets take popular KeePass (tested with version 1, because I don’t like .NET version 2, but it will be probably the same or similar there). You’ll get as many different config files as you want, that is, if any number of folders and subfolders in one is not enough for you. Or if you need to share different subsets with different people. As a very nice bonus, passwords will be stored encrypted and protected by master password (unlike in winbox.cfg, where you can clearly see all passwords in plain text). To connect it together, you just need to copy winbox.exe to same directory and add the following line to KeePass.ini:
KeeUrlOverride=cmd://"{APPDIR}\winbox.exe" {URL} {USERNAME} {PASSWORD}
Then just double-click on URL column (where you put plain IP address or hostname) and you’re connected.
@rextended: Have a little faith in fellow user, or try it yourself.