psftp says "The server's host key is not cached in the registry"

Question

I'm getting the following message when trying to connect to an SFTP server from PowerShell using psftp:

Error:

psftp.exe : The server's host key is not cached in the registry. You have no guarantee that the server is the computer you think it is.
The server's rsa2 key fingerprint is:ssh-rsa 2048 41289438190410491
Connection abandoned.

PowerShell script:

$Username = "Username"
$Password = "Password"

psftp.exe sftpserver -l $Username -pw $Password -batch -bc -b C:\batch\download.bat

(psftp.exe is stored in c:\windows\system32)

I've SSH into this server from this server before via PuTTY and WinSCP without issue. However, it won't connect when running via PowerShell.

Solution

That message is not an error.

Every SSH/SFTP client needs to verify a host key of a server.

Even PuTTY and WinSCP asked you for sure on your first connection to the server to verify a host key.

Though PuTTY and psftp share a host key cache. Are you sure you used PuTTY on the same machine with the same local Windows account?

Anyway, either:

• Run psftp once without the -batch switch. Check the host key and confirm if you trust it. psftp will cache the host key and will work from now on.
• Or add -hostkey switch with a fingerprint of trusted hostkey to your psftp command in PowerShell script.

See also Respond y(es) to psftp host key prompt (though the highest-scored answer by @vmitchell85 is wrong, see the answer by @GerriePretorius).