The specifics of your FTP/SFTP server logs will vary depending on the service running on the webserver hosting your WordPress site. OpenSSH is one of the more popular SFTP servers, and it logs to the auth.log log file, which can be found on many *nix operating systems. This means from the Linux command line, the command grep 'sshd' /var/log/auth.log or similar can display SFTP information stored in the log. If you are an advanced user and want to set up logging of SFTP commands, check out this RedHat article. Regardless of the FTP/SFTP server you use, the value of reviewing the logs is simple: properly configured FTP/SFTP logs enable you to see who accessed and modified what files. Not only does this enhance accountability, but it also enables security.