I followed the later article you mentioned for a time being now. Thank you so much. Need to explore the first option though. Do we need to have root privileges to create a local user account? Also, where can we check the rights given to us on the box?
If you dont want to solve this problem in winscp side, you should create local user on F5.
For example; you have AD user named Anju. You will create local user named Anju and give it "advanced shell" right. After that you will login with AD user&pass with "advanced shell" right. ( Only users which have Administrator or User Manager role can create local users)
To see what is your rights, simply when you login CLI you can not pass to shell with "run util bash" command, Only you will have tmsh access.
Don't forget that it is workaround solution. On newer software versions users which have not Advanced shell rights can not make sftp connection. And it is by design.