Seems as if you mix up FTPS and SFTP protocols. You tried to login with sftp (which is a ssh based protocol and not a FTP based) into a jailed SSH account. But SFTP is not supported for jails, in a jail you can only login with a terminal client like putty. To transfer files, create a FTP account intstead and use a FTP client.
Please create a FTP account (not SSH account) and login with FTP or if you want a encrypted login use ftps (FTPS is a FTP based ssl login while SFTP what you used is a ssh based protocol for file transfers).
If you want to login by ssh, then use a terminal client like putty.