This solves the problem on my end.
var files = sftp.ListDirectory(remoteVendorDirectory).Where(f => !f.IsDirectory);
foreach (var file in files)
{
var filename = $"{LocalDirectory}/{file.Name}";
if (!File.Exists(filename))
{
Console.WriteLine("Downloading " + file.FullName);
var localFile = File.OpenWrite(filename);
sftp.DownloadFile(file.FullName, localFile);
}
}