I`ve got this idea from a amazing IPCAM viewer android app:

Any webdav / ftp / sftp connection could have an OPTIONAL field called "Local Host Name" where, if used, would make the connection first be tried from it`s internal network IP, instead of name. If that IP is not reachable, THEN connect using the Remote Host Name.

The benefits:
1. You won`t have to create 2 connections (for each server) if you access your SFTP (or FTP or WEBDAV) from both your internal network and internet. That also means your servers list will be less cluttered.

1. If you are in your internal network, your connection won`t get out to your WAN then come back inside when the host is just beside you.

2. It doesn`t seem complex to implement and would be useful for lots of us users.