Unicode Filenames don't work

Trying to transfer file with Russian filename from local Windows 7 PC (NTFS) to remote server SFTP-4, the filename gets a garbage name.

FileZilla doesn't have this problem.

Please take a look at it.

I'd guess that the server is misconfigured.
Try setting UTF-8 encoding for filenames to Off:
https://winscp.net/eng/docs/ui_login_environment

See also https://winscp.net/eng/docs/faq_utf8