The main proxy is only compatible FTP/HTTP/HTTPs. If you plan to use Artica Proxy in order to provide sFTP support, you need to enable the SOCKs Proxy service.
The Socks proxy service allows you to proxify any protocol such as sFTP.
Many FTP softwares are SOCKs compatible.
You can see here configuration of FileZilla to supports SOCKs Proxy: