What worked for me was:
First, edit your local HOSTS file (c:\windows\system32\drivers\etc\hosts) and add entry for your "internal" ADFS endpoint IP pointing at your normal ADFS login FQDN.
I.e., if your ADFS login FQDN is: sts.login.mycompany.com then add an entry like:
(where the IP is the internal endpoint - this is what you can do for enabling integrated authentication - your ADFS team may need to help/enable this)
Then running SPFileZilla,
Enter your Site Url:
For username enter your full account name (will look like an email address).
A value in the domain field was not required.
Check the box for Is SharePoint Online.