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As I understand you are looking for a way to control SFTP/FTP access through a third-party tool on Windows devices using Purview or Defender for Cloud Apps.
While Purview and Defender for Cloud Apps are not specifically designed to control SFTP/FTP access at the device level, there are other tools and solutions that can help you achieve this.
One possible solution is to use a third-party firewall or network access control solution that can help you monitor and control access to SFTP/FTP clients at the device level. These tools can help you restrict access to SFTP/FTP clients on certain devices while still allowing SSH access to the server.
Another possible solution is to use a third-party endpoint protection solution that can help you monitor and control access to SFTP/FTP clients at the device level. These solutions can help you detect and respond to potential security threats related to SFTP/FTP access on Windows devices.
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