After a few days of struggle, I managed to get SFTP working. Today I'm using shared hosting for some of my websites, so I reserved a directory for my OPNsense backups.
I hope it works :)
(https://i.postimg.cc/TY7xRbHN/D4359-E7-A-5-D44-4-F2-F-955-E-8-F7431739-D68.png)
(https://i.postimg.cc/Sx1Rhpch/FD5-F21-E5-BE44-4-B3-E-93-C6-819-DE5-F14181.png)
(https://i.postimg.cc/cH4ncc7x/0-DE149-BC-A613-49-B7-BC80-640012-B1-B1-F0.png)