You cannot login to an Addon Domain using SFTP using the standard FTP logins for the Addon Domain. The reason for this is Addon Domains cannot have SSH enabled for them.

The cure for this problem is to ensure that you have SSH access for your main domain. Once SSH is activated for your primary domain, you can then use SFTP to login to the the main account.

Your SFTP program should have a configuration to specify the "startup folder" (or similar) and you can then put the path to your addon domain's root folder. For example you might type in the startup folder:

public_html/addon-root-directory

Where "addon-root-directory" is the name of the root directory for the addon domain that you created.