Connect to remote Server with macOS Sierra through sftp
It seems that this is not possible with MacOS Sierra standard tools (sftp via Finder); Macfusion is also no more compatible with Sierra.

As costly alternative you could use Commander Pro, Panic Transmit 4 or Mountain Duck (35-40$).
As less costly alternative you could use Flow from the App Store (~5$).
As a free alternative you could use webdav with Finder (http://...).

What I did was installing winebottler (comes packed together with wine in one .dmg) and then install WinSCP via it. It was quick and worked, but is indeed rather a weird solution... ;-)