Hi,
I know this is an older post, but it might be useful info for others.
I managed to connect using a private key. At first it didn't work for me either. I had a PPK (PuTTY Private Key) key which I converted to PEM (Privacy Enhanced Mail) and it worked for me.
Thanks Edward for the SFTP navigator, very useful and helped me a lot.
Directorio y descarga mediante SFTP
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