@Andy Thanks for reaching out. There are two types of connectors Azure and Build-in. All the built-in
connectors (SB, Blob, SFTP, MQ, etc.) that will have direct access to Onprem servers through ExpressRoute whereas Azure connector doesn't. So, if you are using the Build-in SFTP connector you should be able to connect to your on-premise SFTP server.
**Note: ** The Build-in SFTP connector is still in preview mode and there can be many improvements/changes once it becomes GA.