Reset password via WinSCP (Here we are using SFTP on Windows server and using OpenSSH)

We have configured SFTP on a Azure Windows VM using OpenSSH and we have provided access to users across our AD domain and we are looking for a way for users to reset the passwords by themselves. Users access the SFTP server using WinSCP.

As per the below document, we have found that reset password is available on WinSCP. However, reset password is not supported for OpenSSH protocol.

Link: https://winscp.net/eng/docs/task_change_password

We want to know if there is any option to change the protocol and if we change what would be the impact. Also is there any other way to reset password without changing the protocol.

I'm afraid that there's no easy way to allow users changing the password using OpenSSH with SFTP protocol.
You will have to use another service for that – Like SSH shell or some dedicated web site.