Yes, your administrator is confusing terminology, and winSCP is not helping you at all.
SFTP never operates “without a key” in the crypto sense. you can totally authenticate with simply username + password, but the SSH layer still has to negotiate encryption keys (kex, ciphers, host key algos) before auth even starts. that error suggests the handshake died before it got to passwords.
the true problem is winSCP 4.2.5. that item predates modern SSH standards by a mile. most GoAnywhere vaults currently only support newer kex algorithms (diffie-hellman-group14, ecdh, etc.), and old winSCP simply doesn’t speak them. result: “couldn’t agree a key exchange algorithm”. nothing to do with domain, same network, or AD. SFTP doesn’t care about that.
fix is straightforward:


upgrade winSCP to a current version


Maintain auth set to password.


Don't even mention a private key.


Allow SSH to automatically negotiate contemporary cryptocurrency


if it still fails after updating, then the GoAnywhere side may be tied down to very specific ciphers/kex, but 99% of the time installing winSCP cures this fast.
tldr: password-only SFTP is good. 16-year-old SSH client is not.

You are confusing an authentication key with encryption key.
You can connect without an authentication key. But you need to exchange the encryption key with the server.

You probably cannot connect because you are using 16 years old version of WinSCP. Upgrading will likely resolve it.

Hello,

I am using WinSCP version 4.2.5.
I am trying to connect to a server that is in the same network and domain as the server running WinSCP.
Actually, the target server is a GoAnywhere vault.
Our network administrator told me that connecting to the relevant GoA vault via SFTP does not require a key, but only a username and password.

But when I try to connect using just a username and password, I get the error

Couldn't agree a key exchange algorithm.

(Please see attached screenshots)

Is it possible to connect to my target GoA server using WinSCP, without specifying a key?
If so, how can I do it?

Regards,
Tsahi