I have now managed to get 'sftp' working. I tracked down the problem
using 'strace'.
The missing libraries were:
libkrb5.so.3
libk5crypto.so.3
libcom_err.so.3
libgssapi_krb5.so.2
However, they were already in the jails '/usr/kerberos/lib' directory. I
copied them to the the jails '/lib' directory and sftp works. Using
strace I discovered that while loading the sftp server it only checks in
'/lib/tls', '/lib' and '/usr/lib' for the libraries.
Is there any way to make it read from '/usr/kerberos/lib' directory?