Hi,
Just out of curiosity, did you check the permissions for your user "SFTP User Name", I mean that it has the permissions to create both the folder that you specified in the settings (if it doesn't exist, the backup procedure creates it) and thus all the other underlying folders that the procedure creates and uses in complete autonomy. Then you should consult the logs, even those of your SFTP server, they may contain an explanation for your specific problem.
You can also omit specifying the port number, this is implied by specifying sftp://........
Regards,
Ferdinando