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No. FXP is for this. WinSCP has synchronization feature: https://winscp.net/eng/docs/extension_synchronize_another_server
rclone mount both servers so that they appear as network disks, then drag files between them in Windows Explorer.
In command line it's
scp -3.For both programs, the files are downloaded and uploaded via the local machine, not directly between two remote machines.
This has the least amount of fuss regarding authentication and firewalls, but not particularly fast.
@yoursunny
This doesn't use traffic on the machine with the two rclone mounts?
The FTP protocol allows this, because you can negotiate a data connection between source and destination via separate control connections to each. This is sometimes referred to as FXP. It is often disabled though, either directly in one or both of the FTP servers (by refusing to create a data connection to/from a host that isn't the other end of the control connection) or due to firewalling issues.
You can't do the same with SCP or SFTP as they don't negotiate separate control and data connections.
Though any SCP/SFTP client running on one of the remote machines can connect to the other, not just command line ones, you just need a way of getting the UI to display on your local machine so you can control it. How to do that depends what operating systems you are using on the servers and your local machine. If a TUI is acceptable (rather than a GUI being absolutely required) then you could try use something like https://github.com/veeso/termscp on of the remote machines via SSH - this removes the need to redirect GUI elements from the server the program is running on to your local display.
In theory a file manager that supports remote-to-remote copies in the manner I think you are looking for by essentially proxying the instructions to calls to other programs on the server side wouldn't be particularly difficult to create, but I'm not aware of any that currently do this. I suspect demand is low as command line tools are generally put-up-with or preferred in relevant use cases. Most tricks with remote mounts would result in the data being transferred both ways over your local connection.