How to use Downloads.download() with SFTP?

Or you can try with a sftp client and option -v :

sftp -v sftp://user@xx.xx.xx.xx/

It prints also some usefull information about key exchage algorithms (kex) and more.
You can also force a cipher with option -c:

sftp -v -c aes256-ctr sftp://user@xx.xx.xx.xx/

gives for example:

...
debug1: kex: server->client cipher: aes256-ctr MAC: umac-64-etm@openssh.com compression: none
debug1: kex: client->server cipher: aes256-ctr MAC: umac-64-etm@openssh.com compression: none
d
...

Well, I admit, it’s tedious.