For my SSH connections I don't add the private key file to TSX, but my password manager automatically loads my SSH keys to the ssh-agent and TSX uses the keys from the agent.
As confirmed by the TSX support, this currently does not work for SFTP Connections as they are implemented via Rebex.
It would be great if the ability to use the ssh-agent was also available for SFTP connections.
BTW: Using the known_hosts file for SFTP connections would be great too.
using the known_hosts file for SFTP connections is supported in the current V5 beta which you can get here.
Unfortunately, ssh-agent support in SFTP/SCP connections is currently not supported because we use a third-party library (Rebex) to implement those connection types and they currently don't have ssh-agent support.