Hi,
From Azure Platform perspective, you will need to make sure that inbound NSG rules are allowed on the port which SFTP listens on. Default port for SFTP server is port 22. If you have configured port 3389, then that should be fine.
Once platform NSG are set right, you will need to check the guest OS firewall. If it is windows, then look for Windows Firewall. If its Linux, look for ip tables and check if the SFTP port is allowed.
If none of the above works, then can you run "netstat -ano" and share the screenshot here?
Regards,
Karthik Srinivas