At the bottom of your File Transfer window, the status bar displays information about the connection and current settings. To display the status bar, choose Status Bar from the View menu.

The status of your current connection is displayed on the left side of the status bar. It will display "Connected to…", "Press Enter/Space to connect", or "Connecting to…".
The status bar also shows the currently active directory on the remote host, the ssh protocol being used, which cipher is being used, the number of items in the currently active folder or the number of selected items if you have selected something, and the time elapsed since the connection was made.