Those are the instructions I followed to configure the server. Now I'm trying to configure WinSCP.

The article shows even necessary WinSCP configuration. Notably:

With SFTP protocol, you can use SFTP server option on SFTP page of Advanced Site Settings dialog to execute SFTP binary under a different user. With OpenSSH server, you can specify:

sudo /bin/sftp-server

...

To clarify, I'm using Sudo on login. Due to security restrictions I cannot allow root login.

This is a backup destination built on FreeBSD. It serves as an rsync mirror for a production mail server. Directory listing requires sudo because the owner attributes are retained from the original server.

Those are the instructions I followed to configure the server. Now I'm trying to configure WinSCP.

See https://winscp.net/eng/docs/faq_su

Changing to SCP shows the setting, but that doesn't work for me.

I have a server that requires sudo for directory listings. I have configured sudo with the NOPASSWD option on the server.

Setting shell to sudo -s has no effect. So I thought I would add sudo to the directory listing command instead. But SCP connections don't work at all.

As the article you point to says:

To reveal this page you need to select SCP on Login dialog. Some of the options are available even for SFTP file protocol with page being labeled Shell.

What are you trying to achieve?

I'm trying to follow the instructions here, but the directory listing section is missing. I'm running the latest beta Version 5.18.2 beta (Build 11097)