Thank you Boris - and Dave!
I have just realized that on the server I have openssh from yum, while on the laptop I have the one from Nickk :-) Using Nickk one, it works fine also on the server.
But I would be happier if I could correctly setup openssh from yum, that is a more recent version.
What to you mean with defining HOME? I have SET HOME=D:\DEFAULT in config.sys, and D: is also unixroot.