Do you have problem only with the files in this gigantic folder? Or does the problem occur with any file in any folder?
If it happens with any folder, can you please post logs that show a download of a single (and same) file from a small folder? Both from WinSCP (with logging set to Debug 2) and FileZilla. Thanks.

I attach it here.

On FileZilla I could easily download 1000 files from that big folder, but after I wanted to delete them it ran to error.

So WinSCP: Can Connect, Can't Download, Can't Delete
FileZilla: Can Connect, Can Download, Can't Delete

Please post the "equivalent FileZilla log file", as I have asked for.

It looks like SFTP 3 is faster. I can open the directory at good speed. But still can not download / delete files. I attach the the log file.

On SFTP 6 the error was:

Error. Can not open remote file. 'filename.jpg'
No such file or directory.
Error code: 2
Error message from server (en-US): No such file

On SFTP 3 the error is different:

Permission denied.
Error code: 3
Error message from server (en-US): Permission denied

Please post log file on Normal level for a start.
And an equivalent FileZilla log file.
You can also try to limit SFTP version to 3. That's what the FileZilla is using. Your server might have a bug in SFTP 6 (it's quite common).
https://winscp.net/eng/docs/ui_login_sftp

Here is the log file.

Hello,

Maybe we can guess out what tweaks can be done in WinSCP settings to solve this error code.
Everything works fine on FileZilla so WinSCP must be doing something wrong.

1. I connect to a SFTP server with provided address, port (2222) and username password. All other settings are factory settings.
   
2. I open the desired sub directory, then try to download a file.
   
3. I get the following error message:
   

   Error. Can not open remote file. 'filename.jpg'
   No such file or directory.
   Error code: 2
   Error message from server (en-US): No such file
   

   
   

My hosting provider says I may use FileZilla then, but I prefer WinSCP.