When I use WinSCP in Windows to connect to VMware with Ubuntu, it prompted this:
The server rejected SFTP connection, but it listens for FTP connections. Did you want to use FTP protocol instead of SFTP? Prefer using encryption.
What's the matter?
I can succeed to ping Ubuntu in Windows.
The fact that you can ping the server has nothing to do with what protocols it supports.
The message says that the server does not listen on port 22 (SSH, SFTP), but listens on port 21 (FTP). The point of the message is that WinSCP defaults to SFTP protocol, what is not common. So it tries to help users who expect FTP to be a default. But that's not relevant to you apparently.
As @ps2goat suggested, make sure you setup SSH/SFTP server.
For more details, see the documentation for the error message The server rejected SFTP connection, but it listens for FTP connections.