I'm sorry to hear that @tmoss !
I'd encourage you to not give up. I really feel your frustration, I was just where you are a couple days ago thinking "this has to be a joke, how can this MS product be soooo not ready? Where is the support for it? Is noone actually able to use this connector? it can't be!"
After all it seems that It was me doing something wrong (I'm not entirely sure what..but I believe it was the SSH key/passphrase/fingerprint).
Documentation for this could (and should) be improved TREMENDOUSLY......!!
Since you are able to connect to the sFTP via FileZilla, that's probably using a .ppk file, right...?
How confident are you with the key conversion you've made? And the passphrase for the key?
Just as a sanity check, this is what I would try:
- open puttygen (included with winSCP or available in the putty official page)
- load your current key into it
- save it as if it was a new one you just generated (both public and private keys)
- double check the format of the key, it should be somethig like this.

- make sure you are able to connect via FileZilla/WinSCP to the server using you NEW keypair (setup a new connection in FZ as if it was a new connection)
If that works... the key is surely not to blame.
I really hope you can find the issue or someone else can help you further,
Good luck!