I've created a new system user to login per sFTP (over SSH). As per usual.
However, I just couldn't login as that user. Thunar said "Connection failed." - no additional information.
When I've checked the logfile "/var/log/auth.log" on the SSH server, I found the following:
[SOLUTION]fatal: bad ownership or modes for chroot directory "/home/myname"
The $HOME directory had ownership 775 (rwx-rw-r), but the sFTP server refuses logins unless it's 755: only owner can write.