Unless you are able to connect with other client, I believe that it is your server configuration issue.
But I'm sure the SFTP server is running.
From my experience, SFTP server is started only after you connect to server. It is not standalone server, running all the time. It is rather subprocess of SSHD. I do not know how this works, but it is possible that unless user has valid shell, SSHD is not able to start SFTP server for him.