When I run last I get something like:
user pts/0 user.domain.provider Sat Feb 25 11:44 still logged in
user pts/0 user.domain.provider Thu Feb 23 16:38 - 16:39 (00:00)
...
But if I connect to the server with sFTP, this won't show up in this list. Are there any other logs or a different command?
The default configuration of syslogd sends all log messages related to authentication to /var/log/auth.log, which will include openssh-server's log messages.
The last commands reads from /var/log/wtmp and its bad cousin /var/log/btmp, which according to man (man wtmp) are the login records.
Not all processes use this facility, so there may be other users logged to the system.
In the sftp case, I think that sshd does not consider scp or sftp as interactive sessions.
This was also discussed at https://unix.stackexchange.com/questions/20070/user-logged-in-by-sftp-does-not-show-up-in-w .
Add pam_lastlog.so module at the beginning of session section in /etc/pam.d/sshd file as shown below.
# vi /etc/pam.d/sshd
<snip..>
session required pam_lastlog.so
session required pam_selinux.so close
session required pam_loginuid.so
<snip..>
Ensure the option UsePAM is enabled in /etc/ssh/sshd_config. If not, make the changes and restart sshd service.
# vi /etc/ssh/sshd_config
<snip..>
#UsePAM no
UsePAM yes
<snip..>
# service sshd restart
