Some third party clients may require special settings in order to connect to the server properly, one example of this is CoreFTP, where the default “SFTP” setting is not actually SSH File Transfer Protocol, but instead FTP over SSH which is traditional FTP over an SSH tunnel.
To correct this, you go into the Advanced settings for CoreFTP and then under SSH you need to enable “Use Putty-compatible SFTP”. This will then allow you to connect properly.