Hi René,
I have created a feature request to add the ability to set SecureFX as the default SFTP handler as well. We will post to this thread if we add the feature in the future.
If you would like to be notified directly, please complete and submit the form at the following location:
Submit Feature Request
In the meantime, you could use the same concept used for ssh to create a URI/URL handler for sftp. I tested this and it works.