"If I configure it via
Banner…" –Banner is shown before authentication; the client chooses a subsystem after successful authentication. Once the client requests sftp subsystem, it expects messages following the SFTP protocol. You can inject a message (e.g. Subsystem sftp cat /etc/motd; /usr/lib/sftp-server in sshd_config), but this will break the protocol and the client will fail. My tests indicate that printing to stderr (cat >&2 …) doesn't break the protocol, but the message doesn't get to the client either. I think there is no solution, but I'm waiting to be surprised.