By default the stfp-server of a Raspberry Pi is located at: /usr/lib/sftp-server, so we need to get WinSCP to execute it with sudo.

• Go to your WinSCP profile (Session > Sites > Site Manager)
• Click on Edit > Advanced… > Environment > SFTP
• Insert sudo su -c /usr/lib/sftp-server at “SFTP Server”
• Save and connect