Thanks. That got me on to the right track :) 
Thanks. For some reason I get a different error message in that version. 
    Server sent command exit status 127
Cannot initialize SFTP protocol. Is the host running an SFTP server?    
Doing a google, I came across:
Can connect via SSH - but not via SFTP? Exit status 127
In particular:
    For me it was client configuration fault. 127 code means that command wasnt found. I changed WinSCP config to use "/bin/sftp-server" instead of "default" by mistake. Check your client config.    
Sure enough, if I change the setting in 
Advanced > SFTP > SFTP Server to 
/bin/sftp-server, then it works! Not ideal, but at least I have a work-around. 
Looking at the versions, I have 5.9.5
Hopefully this will help someone else in the future :)
Cheers Andy