Has anyone successfully used securefx to copy files off of F5's?

Make certain the account you are using to connect to the F5 has Advanced Shell terminal access.  SecureFX lacks the advanced feature set of WinSCP that allows you to change your terminal access.  So if you log in with an account that has tmsh access by default, SecureFX isn't going to be able to figure it out and will throw the failed to open directory error.  

You will probably have to use the base admin or root account.  Best of luck.