Unlike FTP servers, most SFTP servers do not support automatic translation of line endings in text files when uploading, so normally Fetch leaves line endings unchanged when you upload text files using SFTP (that is, the line endings remain the same as they were in the file on the Macintosh, regardless of whether that is appropriate for the server the files are uploaded to).
If you want to force line endings to be converted to a certain style when uploading text files to an SFTP server, you can use a "secret preference" to tell Fetch which kind of line ending to use. To do this:
defaults write com.fetchsoftworks.Fetch SFTPUploadTextEOLStyle -int x
This setting does not affect the conversion of line endings when uploading with FTP; normally that is handled automatically by the server.
This setting does not affect the conversion of line endings when downloading with SFTP or FTP; you can change that by using the Text file line endings pop-up menu in the Download Preferences pane.