@Carl Valcke I do not believe there is an existing restriction with WinSCP in Azure, Here is a guide for WinSCP to a Linux VM in Azure.
If you are trying to connect to your Linux VM via your on-premise machine via WinSCP, you will need to make sure that Port 21 is open, and that you are connecting via the Public IP. The Private IP is only accessible if you are on the same network, typically via a P2S or S2S VPN.
Please let me know if you have any additional questions.