When trying to connect via SFTP from client to server, you will get a message saying “The server’s host key is unknown” or “Connect to unknown server?”.
There is no fix for this as clients are set up to always ask on first attempt, even if the certificate is valid. What you could do though is get in contact with that server’s administrator and see if their key matches what you plan to connect to. Just send them a screenshot like those above just to make sure you won’t fall victim to a man-in-the-middle attack.
Note that the servers host key has nothing to do with PKI. See https://winscp.net/eng/docs/ssh_keys to learn about different SSH Keys.