When using SFTP, the server must have private keys installed. The keys are an integral part of how the secure connection is established. They identify the server to its users.
There are four types of keys - RSA keys, DSA keys, ECDSA keys, and Ed25519 keys. When clients connect, they indicate what type they prefer to be used, and a key type is negotiated. In Settings->SFTP->SSH Settings->Public Key Algorithms, one or the other type of key may be disabled if, for example, only RSA is to be supported.
By default, private keys are already installed - they are generated when CompleteFTP is installed.
The private keys can be regenerated or private keys can be imported via the popup menu shown by selecting the ellipsis (...) on RSA Key, DSA key or ECDSA Key, found via Settings->SFTP/SCP->Advanced SFTP/SCP Settings, as shown below. The server's public keys can also be exported via this menu.