Unfortunately I have no clue.

What about the SSH server log file. You haven't found it or it was empty? Maybe you need to enable logging first.

< 2008-08-02 20:34:09.250 Status/error code: 1
> 2008-08-02 20:34:09.250 Type: SSH_FXP_CLOSE, Size: 13, Number: 6916
. 2008-08-02 20:34:09.265 Startup conversation with host finished.
. 2008-08-02 20:34:29.671 Server unexpectedly closed network connection
* 2008-08-02 20:34:29.671 (ESshFatal) Server unexpectedly closed network connection.
. 2008-08-02 20:34:34.250 Looking up host "{IP_Addr}"
. 2008-08-02 20:34:34.250 Connecting to {IP_Addr} port 223

In doing this I note it was not over the LAN as I had expected, it was in fact out through the LAN to the WAN Static IP, and back in again through the NAT port. Subsequently running it direct to the LAN address the problem does not seem to occur. Do need WAN access though, where problem continues, perhaps something to do with the pfSense firewall? The NAT and filter are set to TCP to Port 223 to the correct address, as one might predict there'd be no initial connection at all if this was not so. Your comments Martin, will be appreciated, thank you.

Can you post a log file of WinSCP?

Checking for /bin/sftp-server does not exist however running: sftp I get:
usage: sftp [-1Cv] [-B buffer_size] [-b batchfile] [-F ssh_config]
[-o ssh_option] [-P sftp_server_path] [-R num_requests]
[-S program] [-s subsystem | sftp_server] host
sftp [[user@]host[:file [file]]]
sftp [[user@]host[:dir[/]]]
sftp -b batchfile [user@]host
which seems to suggest to me that sftp is installed.

Hi
This keeps coming up after a few seconds connection, which is a pain, it didn't happen with older versions, now with recents, including 4.1.6 it is. As per https://winscp.net/eng/docs/message_unexpected_close I have checked the server logs in /var/log/ and I can not find anything helpful.
In tail /var/log/auth.log I have (User name substituted with {user}, LAN numbers subs with X's )
Jul 31 15:29:17 c466 sshd[17135]: subsystem request for sftp
Jul 31 15:29:30 c466 sshd[17137]: Accepted keyboard-interactive/pam for {user} from ::ffff:10.X.X.X port 2155 ssh2
Jul 31 15:29:30 c466 sshd[17140]: (pam_unix) session opened for user {user} by (uid=0)
Jul 31 15:29:38 c466 sshd[17135]: (pam_unix) session closed for user {user}
Jul 31 15:29:52 c466 su[17145]: + pts/2 {user}:root
Jul 31 15:29:52 c466 su[17145]: (pam_unix) session opened for user root by {user}(uid=1001)
This is over a LAN. Internet connections seem stable.
Any suggestions would be welcomed please!