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. For example when uploading the file they send multiple large blocks of data in parallel without waiting for server response.
Most Windows applications that copy file on the filesystem including Windows Explorer itself were designed for fast local medium (hard disks, flash memory). These applications work in a straightforward way - they read or write one block of data (which is as small as 64Kb in case of Explorer) and wait for response from the filesystem. This causes inevitable delays in data transfer in case when the filesystem is slow (or virtual as in our case).
In recent versions of Windows file copying in Explorer has been optimized to be performed in parallel, but limitations and bugs of many servers limit capability of SFTP Net Drive to make use of this parallelism of Explorer.