I just wanted to share my custom 'Open in VLC' command:
cmd.exe /c "start vlc.exe "sftp://!U:!P@!@:!/!""
Options > Preferences > Commands. Add. Local Command. Check 'Use remote files'. Set to keyboard shortcut
Ctrl+1(a matter of preference).
Edit: Don't forget to add your path to VLC to
PATHin your System Environment Variables!