Just I see there a lot of user complains sFTP (server?!) is very hard to install on Mac now
I don't know where you see "lots" of user complaints saying its hard to install an sFTP server on macOS, but it's like saying it's hard to install an electric motor in a Tesla. It doesn't matter how hard it might be in theory to install a different one, you don't need to do it, because it has one that works perfectly fine already.
so, Docker might be an option then.
There is zero configuration required to enable the built in sFTP server - just enable "Remote Login" in the Sharing pane of system preferences.
Running Docker is not a realistic solution to the problem as presented. It's the equivalent of telling someone who's locked themselves out of their house "here's the number for a good builder, just build a new house".
But in general isolated service (Docker virtualised container) is better (for your private use) than your Mac running sFTP (one more possible hole in security).
This makes zero sense. The built in SSH server (which provides sftp) authenticates connections against the macOS user database.
A Docker container to provide SFTP, with access to the Mac's files is running as "you" and gets access to those files, but then re-shares those files using whatever credentials might be setup in the Docker container. I'd bet money the default credentials are something ridiculously insecure.
Or there is also something else what I don't follow for sFTP.
Yes there's clearly something else wrong for those who said they have a problem, and thus far there's zero evidence that the problem is anything other than their SFTP client software.
P.S. I'm running Nginx Docker image for a small project online and it deals quite good.
What's that got to do with the price of fish?
What the OP wants is literally achieved by ticking one box in System Preferences > Sharing.