On Windows, the operating system provides a feature called a ‘jump list’. This is a menu that pops up from an application's icon in the Windows taskbar, and the application can configure entries that appear in it. Applications typically include menu items to re-launch recently used documents or configurations.
PuTTY updates its jump list whenever a saved session is loaded, either to launch it immediately or to load it within the configuration dialog box. So if you have a collection of saved sessions, the jump list will contain a record of which ones you have recently used.
An exception is that saved sessions are not included in the jump list if they are not ‘launchable’, meaning that they actually specify a host name or serial port to connect to. A non-launchable session can specify all the other configuration details (such as fonts, window size, keyboard setup, SSH features, etc), but leave out the hostname.
If you want to avoid leaving any evidence of having made a particular connection, then make the connection without creating a launchable saved session for it: either make no saved session at all, or create a non-launchable one which sets up every detail except the destination host name. Then it won't appear in the jump list.
(The saved session itself would also be evidence, of course, as discussed in the previous section.)