Dear @Martin,
sorry for my late reply and thanks for your answer.
Regarding the initial issue, I found two video that helped me to configure WinSCP on Secret Server:
https://vimeo.com/689362569/d941324b2c
https://vimeo.com/689362641/f7d77bdea7
I had to change some options because the video it is from an old version:
"Launcher Type" -->
Proxied SSH Process
"Use SFTP Tunneling with SSH Proxy" --> tick this option
After this configurations, I can access via WinSCP (through the Secret Server proxy) all VM's Linux.
But I have to use the Secret Server web interface.
At the moment I not yet been able to access directly from WinSCP without going through Secret Server Web interface. (I am not sure if that is currently possible with Secret Server).
Anyway, for me it is already a good compromise.
thank you
regards,
nolo