Playing mov!es from local TrueNAS server over SFTP

Hello

I can watch mov!es from the local TrueNAS server on my Linux Mint machine over SFTP but not on the Windows 10 computer sitting right next to it while using WinSCP. Double clicking any movie file in WinSCP only initiates a download while it starts streaming just fine on the Linux machine.

Is there some issue with Windows or WinSCP or it simply isn't a thing on Windows over SFTP? How can I fix this if at all.

How does it technically work on the Linux? Does the SFTP client start download and starts player, pointing it to the (yet incomplete file)? Or does your Linux player support SFTP directly?