The terms FTP and SFTP are commonly used, even interchangably sometimes. However there are some sigificant differences between the two.
The File Transfer Protocol (FTP) is a standard network protocol used to transfer computer files from one host to another host over a TCP-based network, such as the Internet.
SSH File Transfer Protocol (also Secure File Transfer Protocol, or SFTP) is a network protocol that provides file access, file transfer, and file management functionalities over any reliable data stream. It was designed by the Internet Engineering Task Force (IETF) as an extension of the Secure Shell protocol (SSH) version 2.0 to provide secure file transfer capability, but is also intended to be usable with other protocols. The IETF Internet Draft states that even though this protocol is described in the context of the SSH-2 protocol, it could be used in a number of different applications, such as secure file transfer over Transport Layer Security (TLS) and transfer of management information in VPN applications.
This protocol assumes that it is run over a secure channel, such as SSH, that the server has already authenticated the client, and that the identity of the client user is available to the protocol.
Essentially, SFTP is the preferred and more secure method. For more on how to configure FileZilla you can read our guide here.
cPanel "added FTP accounts" are not able to connect via SFTP, only FTP/S. For a cPanel account to connect to SFTP the account must have SSH access enabled. At this time cPanel does not support creating sub-accounts for SFTP.