FileZilla and WinSCP are file transfer applications. They have been designed specifically to copy files to and from remote FTP/SFTP servers. Such applications use quite specific set of SFTP operations and do this in specific order. They don't do any operations besides very basic set. Finally, server developers test their servers also only with major client applications which happen to be file transfer applications only.
SFTP Net Drive on the contrary has been designed to provide access to the remote filesystem via virtual disk. This means that SFTP Net Drive must handle many filesystem requests, translate them to SFTP operations and execute them both quickly and with intended result. Moreover, filesystem requests can come in almost any order and in any combination (something very opposite to file transfer applications). This is not what the servers are prepared to handle.
To sum it up, various servers have various shortcomings and bugs which make it impossible or non-trivial to perform certain operations. Some known issues with popular servers are listed in this knowledgebase.
Note, that our SecureBlackbox library, used for SFTP access in SFTP Net Drive, would also work with those servers fine in simple cases like file transfer.