Attempting to establish SFTP connection to VCSA appliance end up with error:
Error: Received unexpected end-of-file from SFTP server
Error: Could not connect to server
This is a common issue caused by incorrect shell for root user. To fix this issue, simply change the shell for the root user with the following command:
chsh -s /bin/bash root
SFTP connection should now be working properly (no reboot required).