Hello Moshi !
Thank you for posting on Microsoft Learn.
Usually when an SFTP file upload to Azure Blob Storage (via SFTP endpoint) shows as completed by the sender so the vendor might have uploaded the file to the wrong path or container.
Each SFTP user is rooted to a specific container and if the file was uploaded to a different directory or subfolder, it won’t appear directly under xmlfiles.
Even if the vendor system shows upload complete, it may have: a time out, a lost connectivity or an exceeded SFTP limits (max file size, throttling). Azure will not store partially transferred files. They vanish silently if the transfer fails before commit. You may need to check for incomplete files using Azure Monitoring or diagnostic logs and enable SFTP diagnostic logs via Storage account > Diagnostic Settings for future uploads.
I recommend that you check the Activity Log, Soft Delete, or Blob Versioning (if enabled).
If Soft Delete is on, go to the container and check Manage Deleted Blobs.