Here are a couple of options and additional resources:
1) You can install SFTP on Windows Server
https://winscp.net/eng/docs/guide_windows_openssh_server
This uses an OpenSSH package on GitHub from Microsoft.
2) You can use an Ubuntu VM
As @Bart Czernicki mentioned, OpenSSH is built into Linux, and it comes with SFTP out of the box. Customize your implementation using the /etc/ssh/sshd_config file.
3) SFTP Gateway
We have a product on the Azure Marketplace called SFTP Gateway that might help. (Disclosure: I work for Thorn Technologies.)
This is a good option for launching an SFTP server without having to build it from scratch. It also has a web interface for managing users, to help minimize the time spent at the SSH terminal.
BTW, although this wasn't asked in the original question, you might want to consider moving data to a durable storage layer (Azure Blob Storage). One approach would be to use incron to listen for file events. Once a file is done transferring via SFTP, use the Azure CLI to copy the file to Azure Blob Storage, and then delete the file from disk on success. This is the approach we used to build SFTP Gateway.
Hope this helps!