The Shell settings is not used for SFTP. Use SFTP server instead.
See
https://winscp.net/eng/docs/faq_su#sudo
https://winscp.net/eng/docs/ui_login_sftp#protocol_options

I'm trying to copy files from Windows 7 Pro 64bits Host to a local VMWare guest Ubuntu Server 13.10 32bits.
I've just created the VM via VMWare install which creates a no root user, in my case "tamasydev", that can do everything with root privileges with sudo (via PuTTY or directly in the VM i can do everything).
With a clean WinSCP install, version 5.5.3 (build 4214), as expected i can't copy files getting:
Permission denied.
Error code: 3
Error message from server: Permission denied
But after i config WinSCP, in the Login window, edit site>Advanced>Environment>Shell>sudo su -
I get the same error:
Permission denied.
Error code: 3
Error message from server: Permission denied

The only workaround is to enable the root user on the ubuntu guest, and use it in winscp, but in production i can't have that...