Ubuntu sftp disobey ssh config files or bypass ssh config settings

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http://serverfault.com – I set up openssh on my server to listen to xx port and to use authorized_keys. From a windows client I am able to login to my server using my passphrase using putty. All Ok. This is the way I wanted. The problem now. With an ubuntu desktop I use connect to server, I select the method = ssh, port = xx, host = ip, folder = correct folder, etc. Click connect and boom I am connected. Is this a bug? Question. When I use sftp using ssh to connect to a server, is it suppossed to obey the openssh config settings? Is it supposed to ask me for the passphrase instead of username/password? If this the (HowTos)