Forefront TMG 2010 + Forefront TMG Client + SFTP Connection = "The action cannot be performed because the session is not authenticated"

Hello together,

i want to restrict winsock access for defined active directory groups, so i thought i use TMG Client instead of SOCKS cause the TMG SOCKS filter doesnt support authentication:

But now i face a Problem

- i create a firewallrule for ssh/scp/sftp, looks good so far
- i use winscp as client
- TMG Client is installed on the client
- i setup my tmg in the tmg client
- i start the sftp connection, see the connection gets dropped at tmg cause

"The action cannot be performed because the session is not authenticated"

But in the same log entry "User: <my username>(?)"

So, why theres an (?) and why does he say it is unauthenticated? I thought all TMG Client Connections are authenticated and as far as i see it is authenticated?! 

Can anyone help on this?

Thanks in advance

edit

It works with "Filezilla"?! With filezilla the given username is

"user: Domain\username"

Why is this different to what i see with winscp?