WinSCP super SLOW transfer between SFTP and Azure Storage account

Hi, we've realised that the transfer speed using specifically WinSCP for transferring files between a SFTP and Azure Storage account e.g. \\<StorageAccountName.file.core.windows.net\<Share> is incredibly slow (like 1.5-2Mb/s). If I make a direct transfer to local disk partition then it's fast, and also If I copy a file between the local disk and the StorageAccount File Share it's also fast. If I use another software like FileZilla FTP Client, then I can transfer the same files at about 25Mb/s. So the conclusion is that this is a bug in WinSCP specifically. Would you be able to reproduce this and figure out what is going wrong? :)

Can you guide me how to setup the Azure storage?

In case it matters, I tried tried copying a file to a local VM's local disk and directly to an Azure storage account using WinSCP and Win11 sftp CLI over the internet. All copies took about the same amount of time (about 30 seconds in my case for a 250gig file)

I tried to download FileZilla but the installer kept throwing an error.