It is not possible to use SFTP in Plesk for Windows as SFTP only used on Linux environment.
SFTP refers to "SSH File Transfer Protocol". SFTP is based on the SSH2 protocol, which uses the binary encoding of messages over a secure channel.
This is only supported by Plesk in Linux Operating System.
Note that SFTP abbreviation is often mistakenly used to specify some kind of Secure FTP, by which people most often mean FTPS (secure FTP). Also, SFTP is thought to be some kind of FTP over SSL. In fact, SFTP is an abbreviation of “SSH File Transfer Protocol”. This is neither FTP over SSL, nor FTP over SSH (which is also technically possible, but very rare).