How to change user to root in an SFTP client?

No, it is not possible to elevate your privileges within sftp.

Ideally you should fix the filesystem permission so that don't need root privileges to download/upload whatever you are working on.

If changing permissions isn't an option, then there is a compromise between disabling root logins, and logins with a password. You could set PermitRootLogin without-password and then simply use key-based authentication.