2).I can't use SFTP instead of FTP, if I want to connect via SFTP it shows me the following (see printscreen 3).

WMS or VMS? WinSCP has a limited compatibility with the VMS FTP server in the default configuration.
Did you follow the FAQ above? Cannot you use SFTP?

I'm attaching a log file.
The server I access is OPEN WMS (W digital).

You have to enable logging in preferences:
https://winscp.net/eng/docs/ui_pref_logging
You didn't answer, what kind of server is that.

I can't find the session log file. I'm attaching a printscreen folder with the program (see printscreen 2).I can't use SFTP instead of FTP, if I want to connect via SFTP it shows me the following (see printscreen 3).

I access the official pages of the public administration via my home computer.
I also use the WS FTP95 program, where I have the same settings and have no problems transferring files from work sites.

Is that some mainframe? Can you post a session log file? Cannot you use SFTP instead of FTP?
See also https://winscp.net/eng/docs/faq_mainframe

Problem with download files from host to local directory.
There is no problem getting to a remote address, but when I want to download a file from there I get this message.(Copying files from remote side failed.
%RMS-F-SYN, file specification syntax error).
I use a proxy connection to access the official pages.
Hello
Peter